Asymmetric effect of margin-trading activities on price crashes: evidence from Chinese stock market |
| |
| Authors: | Dayong Lv Qingsong Ruan |
| |
| Affiliation: | 1. Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai, P.R. China;2. School of Economics and Management, Tongji University, Shanghai, P.R. China |
| |
| Abstract: | Prior literature on the impact of margin-trading activity on stock price crashes is mixed and does not reach consensus. Using data from a Chinese margin-trading pilot programme initiated in 2010, this article employs both margin-buying and margin-covering activities to investigate the asymmetric impact on stock price crashes. We find that margin-buying activities are beneficial reducing the price crash prone, especially in bad times. In contrast, margin-covering activities amplify price crashes in both good times and bad times. |
| |
| Keywords: | Margin trading price crashes asymmetric effect negative coefficient of skewness |
|
|
