中国科学院数学与系统科学研究院期刊网
CJE

Figure/Table detail

The Impact of Leverage Trading on Stock Liquidity: Evidence from Margin Trading in Chinese A-Share Market
Rongxi ZHOU, Yukun TAO, Yaojian DENG, Xiao LIU
China Journal of Econometrics, 2023, 3(3): 848-871.   DOI: 10.12012/CJoE2022-0082

变量 (1)
Amihud		 (2)
Amihud		 (3)
Espread		 (4)
Espread
$ D_{it} $ $ - $0.429$ ^{\ast\ast\ast} $ $ - $0.311$ ^{\ast\ast} $ 0.000 0.002
($ - $2.70) ($ - $2.15) (0.33) (1.48)
$ {\rm Mreturn}_{it-1} $ $ - $0.034$ ^{\ast\ast\ast} $ $ - $0.001$ ^{\ast\ast\ast} $
($ - $6.35) ($ - $3.82)
$ {\rm Sd\_return}_{it-1} $ $ - $0.335$ ^{\ast\ast\ast} $ $ - $0.007$ ^{\ast\ast\ast} $
($ - $4.97) ($ - $9.08)
$ {\rm Mcap}_{it-1} $ $ - $0.004$ ^{\ast\ast\ast} $ $ - $0.001
($ - $3.41) ($ - $1.23)
$ {\rm Amihud}_{it-1} $ 0.473$ ^{\ast\ast\ast} $ 0.457$ ^{\ast\ast\ast} $
(11.75) (11.95)
$ {\rm Espread}_{it-1} $ 0.892$ ^{\ast\ast\ast} $ 0.878$ ^{\ast\ast\ast} $
(49.71) (49.69)
月份固定效应 是 是 是 是
带宽 0.208 0.208 0.222 0.222
观测值 3352 3341 3617 3606
表4 断点回归结果
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