Do short selling and margin buying stabilize the market? Evidence from China

被引：3
|
作者：
Li, Rui [1 ]
Yuan, Jinjian [2 ]
机构：
[1] Xi An Jiao Tong Univ, Sch Econ & Finance, Xian, Shaanxi, Peoples R China
[2] Nanjing Univ Finance & Econ, Sch Publ Finance & Taxat, Nanjing 210023, Jiangsu, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2020年 / 27卷 / 16期
基金：
中国国家自然科学基金;
关键词：
Short selling activities; margin buying activities; stock volatility; market stabilization; SHORT SELLERS; SHORT-SALES; REQUIREMENTS; RESTRICTIONS; INFORMATION; VOLATILITY;
D O I：
10.1080/13504851.2019.1679340
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
By directly checking the correlation between short-selling (margin-buying) activities, we find that short sellers and margin buyers are beneficial for market stabilization in China, and such effects do not attenuate during the crazy bull-market. Furthermore, by quantile regression analysis, we show that such stabilizing effects are more significant in higher quantiles.
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页码：1340 / 1346
页数：7
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