Margin Trading and Short Selling on Stock Liquidity: Evidence from the Expansion of Marginal Securities in Chinese Stock Market

被引：0
|
作者：
Zhong, Yonghong [1 ]
Li, Shuxuan [1 ]
机构：
[1] South China Univ Technol, Sch Econ & Commerce, Guangzhou, Guangdong, Peoples R China
来源：
PROCEEDINGS OF 2016 9TH INTERNATIONAL SYMPOSIUM ON COMPUTATIONAL INTELLIGENCE AND DESIGN (ISCID), VOL 1 | 2016年
关键词：
securities margin trading; liquidity; difference-in-difference model;
D O I：
10.1109/ISCID.2016.26
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
The paper uses pre- and post-periods of marginal securities expansion to examine the impact of lifting the short sales and margin trading ban on stock liquidity. We find a significant increase in stock return following the short selling and margin buying activity. And the results show an improvement in liquidity measurement after the introduction and subsequent expansion of short selling and margin buying. Moreover, the improvement in liquidity measurement is different in different treatment period. A possible explanation for this result is the effect of stock market trend and investor's reluctance to invest in marginal securities.
引用
收藏
页码：82 / 86
页数：5
相关论文
共 50 条
  • [21] Liquidity commonality and high frequency trading: Evidence from the French stock market
    Anagnostidis, Panagiotis
    Fontaine, Patrice
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 69
  • [22] Margin trading and spillover effects: Evidence from the Chinese stock markets
    Zhou, Shengjie
    Ye, Qing
    EMERGING MARKETS REVIEW, 2023, 54
  • [23] Liquidity and the cross-section of expected stock returns - Evidence from Chinese stock market
    Ni, SY
    Ma, CL
    Wu, CF
    PROCEEDINGS OF 2002 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS I AND II, 2002, : 1459 - 1463
  • [24] Corporate Governance and Firm Liquidity: Evidence from the Chinese Stock Market
    Tang, Ke
    Wang, Changyun
    EMERGING MARKETS FINANCE AND TRADE, 2011, 47 (01) : 47 - 60
  • [25] Short selling constraints and stock returns volatility: Empirical evidence from the German stock market
    Bohl, Martin T.
    Reher, Gerrit
    Wilfling, Bernd
    ECONOMIC MODELLING, 2016, 58 : 159 - 166
  • [26] Asymmetric effect of margin-trading activities on price crashes: evidence from Chinese stock market
    Lv, Dayong
    Ruan, Qingsong
    APPLIED ECONOMICS LETTERS, 2018, 25 (13) : 900 - 904
  • [27] Retail investors' trading and stock market liquidity
    Abudy, Menachem Meni
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2020, 54
  • [28] Legal Insider Trading and Stock Market Liquidity
    Degryse, Hans
    de Jong, Frank
    Lefebvre, Jeremie
    ECONOMIST-NETHERLANDS, 2016, 164 (01): : 83 - 104
  • [29] Motives for short selling from securities lending and stock returns
    Song, Chi-Seung
    ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, 2006, 35 (06) : 1 - 37
  • [30] Legal Insider Trading and Stock Market Liquidity
    Hans Degryse
    Frank de Jong
    Jérémie Lefebvre
    De Economist, 2016, 164 : 83 - 104
12345