Cargando…

Margin purchases, short sales and stock return volatility in China: Evidence from the COVID-19 outbreak

In this paper, we investigate the effects of margin purchases and short sales on the return volatility in the Chinese stock market during the COVID-19 outbreak. We present two main findings. First, we show that stocks with higher level of margin-trading activity exhibit higher return volatility. The...

Descripción completa

Detalles Bibliográficos
Autores principales: Lin, Yongjia, Wang, Yizhi, Fu, Xiaoqing (Maggie)
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8994448/
https://www.ncbi.nlm.nih.gov/pubmed/35431673
http://dx.doi.org/10.1016/j.frl.2021.102351
Descripción
Sumario:In this paper, we investigate the effects of margin purchases and short sales on the return volatility in the Chinese stock market during the COVID-19 outbreak. We present two main findings. First, we show that stocks with higher level of margin-trading activity exhibit higher return volatility. The COVID-19 outbreak amplifies the destabilizing effects of margin-trading activity. Second, no evidence shows that short selling destabilizes the stock market in general. However, we observe that intensified short-selling activity is associated with lower return volatility when infection risk is high during the COVID-19 crisis.