The Threshold Effect of Leveraged Trading on the Stock Price Crash Risk: Evidence from China

被引：3
|
作者：
Peng, Zhen [1 ]
Hu, Changsheng [2 ]
机构：
[1] Hubei Univ, Sch Business, Wuhan 430062, Peoples R China
[2] Wuhan Univ, Econ & Management Sch, Wuhan 430072, Peoples R China
来源：
ENTROPY | 2020年 / 22卷 / 03期
基金：
中国国家自然科学基金;
关键词：
leveraged trading; stock price crash risk; threshold effect; complexity in stock market; INVESTOR SENTIMENT; CROSS-SECTION; MARKET; RETURNS; LIQUIDITY;
D O I：
10.3390/e22030268
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The stock price crash constitutes one part of the complexity in the stock market. We aim to verify the threshold effect of leveraged trading on the stock price crash risk from the perspective of feedback trading. We empirically demonstrate that leveraged trading has a threshold effect on the stock price crash risk on the basis of monthly data on leveraged trading in the Chinese stock market from January 2014 to December 2016. At a low leverage ratio, leveraged trading reduces the stock price crash risk; however, as the leverage ratio increases and exceeds a certain threshold, leveraged trading asymmetrically increases the stock price crash risk. These findings provide new insights in understanding the complexity in the Chinese stock market.
引用
收藏
页数：13
相关论文
共 50 条
  • [1] Stock liquidity and stock price crash risk: evidence from China
    Zhang, Ping
    Qu, Zijin
    Wang, Yiru
    APPLIED ECONOMICS, 2024,
  • [2] Effect of ESG performance on stock price crash risk: evidence from China
    Zhang, Hanxiao
    Phua, Lian Kee
    APPLIED ECONOMICS, 2024,
  • [3] Religion and stock price crash risk:Evidence from China
    Wenfei Li
    Guilong Cai
    China Journal of Accounting Research, 2016, (03) : 235 - 250
  • [4] Religion and stock price crash risk: Evidence from China
    Li, Wenfei
    Cai, Guilong
    CHINA JOURNAL OF ACCOUNTING RESEARCH, 2016, 9 (03) : 235 - 250
  • [5] Confucianism and stock price crash risk: Evidence from China
    Jebran, Khalil
    Chen, Shihua
    Ye, Yan
    Wang, Chengqi
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2019, 50
  • [6] Trust and stock price crash risk: Evidence from China
    Li, Xiaorong
    Wang, Steven Shuye
    Wang, Xue
    JOURNAL OF BANKING & FINANCE, 2017, 76 : 74 - 91
  • [7] Depoliticization and Stock Price Crash Risk: Evidence from China
    Liu, Xinghe
    Gao, Jun
    Chen, Zeyi
    Huang, Yuqing
    EMERGING MARKETS FINANCE AND TRADE, 2023, 59 (07) : 2313 - 2327
  • [8] Price limit relaxation and stock price crash risk: Evidence from China
    Jia, Shaoqing
    An, Yunbi
    Yang, Liuyong
    Zhou, Fangzhao
    FINANCE RESEARCH LETTERS, 2024, 59
  • [9] Oil price uncertainty and stock price crash risk: Evidence from China
    Xiao, Jihong
    Chen, Xian
    Li, Yang
    Wen, Fenghua
    ENERGY ECONOMICS, 2022, 112
  • [10] Political connections and stock price crash risk: Evidence from China
    Luo, Jin-hui
    Gong, Manning
    Lin, Yilong
    Fang, Qifeng
    ECONOMICS LETTERS, 2016, 147 : 90 - 92
12345