China Journal of Econometrics

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) NetBuy	(2) NetShort
$ {\rm return}_{it-1}\times1\left({\rm return}_{it-1}\le\gamma_1\right) $	$ 0.735^{\ast\ast\ast} $	$ 0.023^{\ast} $
	(8.73)	(1.81)
$ {\rm return}_{it-1}\times1 \left(\gamma_1<{\rm return}_{it-1}\le\gamma_2\right) $	$ - $$ 0.328^{\ast\ast\ast} $	$ - $$ 0.079^{\ast\ast\ast} $
	($ - $3.26)	($ - $5.41)
$ {\rm return}_{it-1}\times1\left({\rm return}_{it-1}>\gamma_2\right) $	$ 0.664^{\ast\ast\ast} $	$ 0.071^{\ast\ast} $
	(5.25)	(2.43)
$ {\rm Trade}_{it-1} $	$ 0.004^{\ast\ast\ast} $	$ - $$ 0.005^{\ast\ast\ast} $
$ {\rm Trade}_{it-1} $	(12.46)	($ - $3.12)
$ {\rm Dcap}_{it-1} $	$ -0.001^{\ast\ast} $	$ 0.001^{\ast} $
$ {\rm Dcap}_{it-1} $	($ - $2.24)	($ - $1.94)
$ {\rm Turnover}_{it-1} $	$ 0.006^{\ast\ast\ast} $	0.004
$ {\rm Turnover}_{it-1} $	(5.61)	(1.52)
$ {\rm Volatility}_{it-1} $	$ 0.370^{\ast\ast\ast} $	0.013
$ {\rm Volatility}_{it-1} $	(2.8)	(0.04)
$ \gamma_1 $	$ - $1.37%	$ - $3.28%
$ \gamma_2 $	2.12%	9.32%
个体固定效应	是	是
时间固定效应	是	是
观测值	783, 433	783, 433

表6 面板门槛模型估计结果

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