|
|
|
| The Trading Behavior of Margin-Leveraged Investors: Evidence from Chinese Stock Markets |
| KANG Wenjing, GU Ming
|
School of Finance, Shanghai University of Finance and Economics;
School of Economics, Xiamen University |
|
|
|
Abstract Since the introduction of the margin trading system in the Chinese A-share market in 2010, the trading volumes and holding balances of margin investors have increased significantly. Today, margin investors hold approximately 1 trillion yuan of A-share stocks, and these investors are thus a key part of the market. There is therefore a need for a better understanding of the trading behavior of margin investors and its effect on the pricing mechanisms of the A-share market. To this end, we exploit the unique data availability of the Chinese A-share market to conduct in-depth analyses of the trading of margin investors to determine how their trading affects market returns and liquidity.
We refer to the predictions of collateral constraint models and hypothesize that margin investors are trend-followers; thus, there should be asymmetry in the relationship between stock price changes and leveraged investors' trading behavior. We observe a significant trend-following pattern in the behavior of margin investors in Chinese stock markets: these investors buy after a stock price increases and sell after a stock price decreases. We find that a stock price decrease has a greater effect on margin investors' trading activity than a similar stock price increase. We further show that this asymmetry is mainly driven by market-level returns.
Specifically, we conduct stock-level time-series regressions in which the weekly net buying activity based on margins is regressed on the lagged weekly stock returns. We find that a significantly positive relationship exists between leveraged net buying activity and past stock returns: if the stock price increases in week t-1, there is a significant increase in the net buying activity by leveraged investors in week t; analogously, if the stock price decreases in week t-1, there is a significant increase in the net selling activity by leveraged investors in week t. We quantify the magnitude of this effect based on the average size of our sample firm (approximately 25 billion RMB) and thus calculate that a 10% stock price change in a given week will lead to a 0.25% (or 44 million RMB) change in the total market cap trading by leveraged investors in the following week.
Next, we test whether there is any difference between the effects of stock price increases and decreases on leveraged investors' trading behavior. Brunnermeier and Pedersen (2009) suggest that a loss spiral may occur in some price-decrease circumstances, where an initial price decrease caused by an exogenous shock can lead to leveraged speculators experiencing losses on their existing positions, causing them to de-leverage by selling, which causes further price decreases, and thus continued selling. In addition, when a market increases in value and leveraged investors can borrow more, they are free to choose whether to make additional stock purchases, but when a market decreases in value and leveraged investors are affected by funding or collateral constraints, they are compelled to sell their portfolio holdings, especially if they receive margin calls. Therefore, we hypothesize that the effect of stock price decreases on leveraged investors' trading behavior is stronger than the effect of stock price increases on their trading behavior.
We find that there is indeed significant asymmetry in the relationship between stock price changes and leveraged investors' trading behavior: specifically, the effect of a stock price decrease on leveraged trading activity is approximately twice the effect of a stock price increase of the same magnitude on leveraged trading activity. This means that a 10% price increase of an average stock in a given week will lead to net buying of approximately 0.13% of the market cap by leveraged investors in the following week, whereas a price decrease of 10% will lead to net selling of 0.24% of the market cap by leveraged investors in the following week. Notably, these differences are statistically significant, and thus provide direct support for the predictions of the Brunnermeier and Pedersen (2009) collateral constraint model. Furthermore, we find that the asymmetric relationship between stock price changes and leveraged trading behavior strengthens in good economic times, which is consistent with the theoretical predictions of Acharya and Viswanathan (2011).
We also explore the return predictability of leveraged trading activity. We observe that a significantly negative relationship exists between net leveraged buying activity and subsequent stock returns. In addition, we find that the negative relationship between leveraged investors' trading activity and their subsequent weekly stock returns is primarily attributable to the selling behavior of margin investors.
Overall, our paper provides strong empirical support for collateral constraint models. We also provide policy recommendations on how the resilience of Chinese stock markets could be improved.
|
|
Received: 18 February 2020
Published: 02 August 2021
|
|
|
|
|
| [1] |
陈康和刘琦,2018,《股价信息含量与投资—股价敏感性——基于融资融券的准自然实验》,《金融研究》第9期,第126～142页。
|
| [2] |
陈海强、方颖和王方舟,2019,《融资融券制度对尾部系统风险的非对称影响——基于A股市场极值相关性的研究》,《管理科学学报》第5期,第99～109页。
|
| [3] |
陈海强和范云菲,2015,《融资融券交易制度对中国股市波动率的影响——基于面板数据政策评估方法的分析》,《金融研究》第6期,第159～172页。
|
| [4] |
程天笑和闻岳春,2016,《融资融券业务个人客户违约概率计量研究》,《金融研究》第4期,第174～189页。
|
| [5] |
褚剑和方军雄,2016,《中国式融资融券制度安排与股价崩盘风险的恶化》,《经济研究》第5期,第143～158页。
|
| [6] |
褚剑、秦璇和方军雄,2019,《中国式融资融券制度安排与分析师盈利预测乐观偏差》,《管理世界》第1期,第151～166页。
|
| [7] |
顾乃康和周艳利,2017,《卖空的事前威慑、公司治理与企业融资行为——基于融资融券制度的准自然实验检验》,《管理世界》第2期,第120～134页。
|
| [8] |
郝项超、梁琪和李政,2018,《融资融券与企业创新:基于数量与质量视角的分析》,《经济研究》第6期,第127～141页。
|
| [9] |
黄俊威和龚光明,2019,《融资融券制度与公司资本结构动态调整——基于“准自然实验”的经验证据》,《管理世界》第10期,第64～81页。
|
| [10] |
李春涛、刘贝贝和周鹏,2017,《卖空与信息披露:融券准自然实验的证据》,《金融研究》第9期,第130～145页。
|
| [11] |
李科、徐龙炳和朱伟骅,2014,《卖空限制与股票错误定价——融资融券制度的证据》,《经济研究》第10期,第165～178页。
|
| [12] |
李宏、王刚和路磊,2016,《股票流动性能够解释收益反转之谜吗？ 》,《管理科学学报》第8期,第84～101页。
|
| [13] |
李志生、陈晨和林秉旋,2015,《卖空机制提高了中国股票市场的定价效率吗？——基于自然实验的证据》,《经济研究》第4期,第165～177页。
|
| [14] |
李志生、李好、马伟力和林秉旋,2017,《融资融券交易的信息治理效应》,《经济研究》第11期,第150～164页。
|
| [15] |
刘烨、方立兵、李冬昕和李心丹,2016,《融资融券交易与市场稳定性:基于动态视角的证据》,《管理科学学报》第1期,第102～116页。
|
| [16] |
鲁臻和邹恒甫,2007,《中国股市的惯性与反转效应研究》,《经济研究》第9期,第145～155页。
|
| [17] |
陆瑶、彭章和冯佳琪,2018,《融资融券对上市公司治理影响的研究》,《管理科学学报》第11期,第92～111页。
|
| [18] |
孟庆斌、邹洋和侯德帅,2019,《卖空机制能抑制上市公司违规吗？ 》,《经济研究》第6期,第89～105页。
|
| [19] |
倪骁然和朱玉杰,2017,《卖空压力影响企业的风险行为吗？——来自A股市场的经验证据》, 《经济学(季刊) 》第3期,第1173～1198页。
|
| [20] |
权小锋和尹洪英,2017,《中国式卖空机制与公司创新——基于融资融券分步扩容的自然实验》,《管理世界》第1期,第128～144页。
|
| [21] |
田利辉、王冠英和谭德凯,2014,《反转效应与资产定价:历史收益率如何影响现在》,《金融研究》第10期,第177～192页。
|
| [22] |
肖浩和孔爱国,2014,《融资融券对股价特质性波动的影响机理研究:基于双重差分模型的检验》,《管理世界》第8期,第30～43页。
|
| [23] |
许红伟和陈欣,2012,《我国推出融资融券交易促进了标的股票的定价效率吗？——基于双重差分模型的实证研究》,《管理世界》第5期,第52～61页。
|
| [24] |
王永宏和赵学军,2001,《中国股市“惯性策略”和“反转策略”的实证分析》,《经济研究》第6期, 第56～61+89页。
|
| [25] |
王雨和粟勤,2017,《融资融券对我国A股市场标的证券波动性的影响分析》,《管理世界》第3期,第176～177页。
|
| [26] |
王朝阳和王振霞,2017,《涨跌停、融资融券与股价波动率——基于AH股的比较研究》,《经济研究》第4期,第151～165页。
|
| [27] |
俞红海、陈百助、蒋振凯和钱仪绰,2018,《融资融券交易行为及其收益可预测性研究》,《管理科学学报》第1期,第72～87页。
|
| [28] |
张俊瑞、白雪莲和孟祥展,2016,《启动融资融券助长内幕交易行为了吗？——来自我国上市公司的经验证据》, 《金融研究》第6期,第 176～192页。
|
| [29] |
Acharya, Viral and S. Viswanathan. 2011. “Leverage, Moral Hazard, and Liquidity”, Journal of Finance, 66: 99～138.
|
| [30] |
Amihud, Y. 2002. “Illiquidity and stock returns: Cross-section and Time-series effects”, Journal of Financial Markets, 5: 31～56.
|
| [31] |
Avramov, Doron, Tarun Chordia, and Amit Goyal. 2006. “Liquidity and Autocorrelation of Individual Stock Returns”,Journal of Finance, 61: 2365～2394.
|
| [32] |
Bian, Jiangze, Zhiguo He, Kelly Shue, and Hao Zhou. 2018. “Leverage Induced Fire Sales and Stock Prices”, NBER working paper.
|
| [33] |
Brunnermeier, Markus and Lasse Pedersen. 2009. “Market Liquidity and Funding Liquidity”, Review of Financial Studies , 22: 2201～2238.
|
| [34] |
Campbell, John Y., Sanford J. Grossman, and Jiang Wang. 1993. “Trading Volume and Serial Correlation in Stock Returns”, Quarterly Journal of Economics, 108: 905～939.
|
| [35] |
Choi, Jaewon, Or Shachar, and Sean Seunghun Shin. 2019. “Dealer Liquidity Provision and the Breakdown of the Law of One Price: Evidence from the CDS-bond basis”, Management Science, 65: 4100～4122.
|
| [36] |
Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam. 2000. “Commonality in Liquidity”, Journal of Financial Economics , 56: 3～28.
|
| [37] |
Grossman, Sanford J. and Merton H. Miller. 1988. “Liquidity and Market Structure”, Journal of Finance, 43:617～633.
|
| [38] |
Hameed, Allaudeen, Wenjin Kang, and Shivesh Viswanathan. 2010. “Stock Market Declines and Liquidity”, Journal of Finance , 65: 257～293.
|
| [39] |
Hu, Conghui, Yu-Jane Liu, and Ning Zhu. 2019. “De-Leverage and Illiquidity Contagion”, Journal of Banking and Finance , 102: 1～18.
|
| [40] |
Nagel, Stefan. 2012. “Evaporating Liquidity”, Review of Financial Studies, 25: 2005～2039.
|
| No related articles found! |
|
|
|
|
