China Journal of Econometrics

中国科学院数学与系统科学研究院期刊网

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) Amihud	(4) Amihud
变量	$ D_{it} $	$ -0.428^{\ast\ast\ast} $	$ -0.305^{\ast\ast} $	$ -0.693^{\ast\ast\ast} $	$ -0.595^{\ast\ast\ast} $
($ - $2.84)	$ D_{it} $	($ - $2.10)	($ - $3.17)	($ - $2.78)
$ {\rm Downturn}_t $	$ 2.091^{\ast\ast\ast} $	$ 2.434^{\ast\ast\ast} $
$ {\rm Downturn}_t $	(11.34)	(13.05)
$ D_{it}\times {\rm Downturn}_t $	$ 0.554^{\ast\ast} $	$ 0.395^{\ast\ast} $
$ D_{it}\times {\rm Downturn}_t $	(2.24)	(2.02)
$ {\rm Upturn}_t $			$ -1.422^{\ast\ast\ast} $	$ -1.324^{\ast\ast\ast} $
$ {\rm Upturn}_t $			($ - $11.60)	($ - $11.22)
$ D_{it}\times {\rm Upturn}_t $			$ 0.699^{\ast\ast\ast} $	$ 0.725^{\ast\ast\ast} $
$ D_{it}\times {\rm Upturn}_t $			(2.67)	(2.92)
控制变量	否	是	否	是
月份固定效应	否	否	否	否
观测值	3352	3341	3352	3341

表8 市场大幅波动时杠杆交易对流动性的影响

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