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
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