近年来金融市场的流动性冲击频发，对我国金融安全构成了严重的威胁。与此同时，杠杆交易对股票流动性具有重要的影响，但针对“杠杆交易究竟是改善还是恶化了流动性”这一问题一直存在争议。本文利用面板回归模型，在微观个股层面进行实证分析，研究发现，杠杆交易在短期内会改善个股的流动性，在长期则会恶化个股的流动性；在涨幅较大的时期，杠杆交易对当期流动性的改善作用加强，而在跌幅较大的时期，杠杆交易对当期流动性的负面作用增强。因此，杠杆对个股流动性的影响具有“长短期非对称性”与“涨跌非对称性”，且两种非对称性共同发生作用。另外，杠杆交易对流动性的作用受市场杠杆水平的影响，市场杠杆水平较高时，杠杆交易对股票流动性产生负面作用，且个股的负面冲击对流动性的影响更大。

The impact of leveraged trading on stock market liquidity is investigated in this study， addressing a critical issue in financial markets where liquidity shocks have become increasingly frequent. The research is anchored by the implementation of margin trading in China since 2010， which was aimed at enhancing liquidity by amplifying securities supply and demand. However， the effects of leveraged trading on liquidity remain contentious， with varying opinions on whether market conditions are improved or deteriorated by it.The core research question is addressed by focusing on the asymmetrical effects of leveraged trading on liquidity， particularly distinguished between short-term and long-term impacts， as well as differential effects during market upturns and downturns. A panel regression model is employed to analyze individual stock data， with the liquidity index being constructed using the Amihud illiquidity measure.The empirical analysis is based on a data set comprising stocks listed on the Shanghai and Shenzhen exchanges from January 2014 to November 2021， with stocks eligible for margin trading being the focus. It is revealed by the findings that liquidity is enhanced by leveraged trading in the short term but is led to deterioration in the long term， demonstrating a "short-term vs. long-term asymmetry." Additionally， a more pronounced positive effect on liquidity is exerted by leveraged trading during significant market upturns， whereas liquidity issues are exacerbated by it during downturns， confirming the "upturn vs. downturn asymmetry." It is suggested by the extended research that the negative impacts of leverage become more significant in high-leverage market environments， indicating that excessive leverage can lead to liquidity crises.An understanding of the complex dynamics between leveraged trading and liquidity is contributed to by this research， providing insights for policymakers regarding the regulation of margin trading practices. By highlighting the dual nature of leverage as both a facilitator and a potential source of liquidity risk， the need for careful monitoring and management of leverage in financial markets is underscored by the study to mitigate systemic risks.