杠杆交易会提高股票市场的流动性吗？

doi:10.16381/j.cnki.issn1003-207x.2022.0282

Abstract

Abstract:

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.

Key words: liquidity, leverage, margin trading, asymmetry, stock market

CLC Number:

F830.91

Haoyuan Feng, Jie Wu, Anqi Yu, Kun Guo. Will Leveraged Trading Increase the Liquidity of the Stock Market? Empirical Analysis Based on Individual Stocks of Micro-Level[J]. Chinese Journal of Management Science, 2025, 33(4): 1-11.

Figures/Tables 6

变量类型	变量名称	变量符号	计算方法
被解释变量	流动性指标	$L i q i, t$	见3.2.1
核心解释变量	杠杆	$L e v i, t$	见3.2.2
调节变量	市场杠杆	$M a k L e v t$	A股市场的总净融资余额占当月A股的流通市值的比重
	大涨虚拟变量	$U p i, t$	大涨定义为个股收益率最高的前20%的月份，若第 $t$ 期股票 $i$ 发生大涨，则 $U p i, t = 1$
	大跌虚拟变量	$D o w n i, t$	大跌定义为个股收益率最低的前20%的月份，若第 $t$ 期股票 $i$ 发生大跌，则 $U p i, t = 1$
控制变量	月收益率	$R e t i, t$	(收盘价/前收价-1)*100%
	市净率	$P B i, t$	股票在指定交易日期的收盘价×截至当日公司总股本)／(归属母公司股东的权益-其他权益工具)
	月均价	$P r c i, t$	均价=成交金额/成交量
	月beta值	$B e t a i, t$	等于3.2.3中的系数 $β i$
	特质风险	$I R i, t$	见3.2.3
	换手率	$T u r n o v e r i, t$	换手率=成交量/流通股本×100%

变量	观测量	均值	标准差	最小值	最大值
$L i q i, t$	67992	-0.2099	2.1851	-430.2170	-0.0012
$L e v i, t$	67992	0.0608	0.0402	0.0004	0.8291
$S i z e i, t$	67992	3479.445	10453.24	82.6411	278624.7
$R e t i, t$	67992	0.0119	0.1357	-0.6179	3.1068
$P B i, t$	67992	3.7414	13.9778	0.1496	1438.859
$P r c i, t$	67992	16.2020	36.6060	1.15	2218
$B e t a i, t$	67992	1.2083	0.8588	-39.5938	34.7128
$I R i, t$	67992	0.0002	0.0001	9.81e-20	0.0009
$T u r n o v e r i, t$	67992	0.3608	1.0276	0.0001	161.3923
$M a k L e v t$	96	0.0378	0.0077	0.0262	0.0679

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变量	(1a)	(2a)	(3a)	(4a)	(5a)	(6a)
L1	0.3733^***	-	-	0.8020^***	0.6225^***	0.4195^***
L2	-	0.6693^***	-	-	-	-
L3	-	-	0.4086^***	-	-	-
L6	-	-	-	-0.7664^***	-	-
L9	-	-	-	-	-0.7318^***	-
L12	-	-	-	-	-	-0.7290^***
Size	8.33e-7	7.51e-7	7.08e-7	9.27e-7	6.07e-7	5.35e-7
Ret	-0.0898^***	-0.0968^***	-0.1682^***	-0.0998^***	-0.1095^***	-0.1061^***
PB	0.0002	0.0002	0.0003	0.0004^*	0.0004	0.0011^***
Prc	0.0001	0.0001	2.93e-5	3.07e-5	5.96e-5	1.68e-5
Beta	0.0159^***	0.0184^***	0.0277^***	0.0157^***	0.0160^***	0.0153^***
IR	629.0663^***	620.3956^***	614.8612^***	649.1054^***	669.9991^***	691.2211^***
Turnover	0.0092^***	0.0104^***	0.0130^***	0.0083^***	0.0083^***	0.0079^***
_cons	-0.3961^***	-0.4434^***	-0.4353^***	-0.3079^***	-0.2786^***	-0.2794^***
Number	59816	58679	57664	54677	52311	50050
个股固定效应	√	√	√	√	√	√
时间固定效应	√	√	√	√	√	√

变量	(1b)	(2b)	(3b)	(4b)	(5b)	(6b)
L1	0.2173^**	0.4405^***	-	-	-	-
L1×Up	0.4055^***	-	-	-	-	-
L1×Down	-	-0.5206^***	-	-	-	-
L2	-	-	0.5677^***	0.7974^***	-	-
L2×Up	-	-	0.4014^***	-	-	-
L2×Down	-	-	-	-0.5135^***	-	-
L3	-	-	-	-	0.3462^***	0.5830^***
L3×Up	-	-	-	-	0.3016^***	-
L3×Down	-	-	-	-	-	-0.6655^***
Size	8.45e-7	8.28e-7	7.70e-7	7.60e-7	7.24e-7	7.14e-7
Ret	-0.1499^***	-0.1420^***	-0.1525^***	-0.1520^***	-0.2087^***	-0.2384^***
PB	0.0002	0.0002	0.0002	0.0002	0.0003	0.0003
Prc	0.0001	0.0001	0.0001	0.0001	2.75e-5	3.20e-5
Beta	0.0157^***	0.0170^***	0.0182^***	0.0195^***	0.0276^***	0.0291^***
IR	621.8796^***	642.7077^***	615.4831^***	635.6735^***	611.2577^***	634.7166^***
Turnover	0.0088^***	0.0093^***	0.0101^***	0.0106^***	0.0127^***	0.0132^***
_cons	-0.3902^***	-0.4000^***	-0.4402^***	-0.4473^***	-0.4333^***	-0.4435^***
Number	59816	59816	58679	58679	57664	57664
个股固定效应	√	√	√	√	√	√
时间固定效应	√	√	√	√	√	√

变量	(7b)	(8b)	(9b)	(10b)	(11b)	(12b)
L6	-0.6998^***	-0.1393	-	-	-	-
L6×Up	0.5912^***	-	-	-	-	-
L6×Down	-	-1.7242^***	-	-	-	-
L9	-	-	-0.8219^***	-0.4870^**	-	-
L9×Up	-	-	-0.0852	-	-	-
L9×Down	-	-	-	-1.4215^***	-	-
L12	-	-	-	-	-0.4827	-0.1116
L12×Up	-	-	-	-	0.2795^***	-
L12×Down	-	-	-	-	-	-1.4282^***
Size	3.64e-7	3.78e-7	-2.00e-7	-1.46e-7	-4.96e-7	-4.64e-7
Ret	-0.6911^***	-0.7899^***	-0.5574^***	-0.7143^***	-0.5546^***	-0.6692^***
PB	-0.0059^***	-0.0059^***	-0.0031^***	-0.0030	-0.0007	-0.0006
Prc	0.0002	0.0003	0.0002	0.0002	0.0002	0.0002
Beta	0.0467^***	0.0505^***	0.0554^***	0.0579^***	0.0600^***	0.0627^***
IR	696.3865^***	754.9433^***	695.9636^***	738.2469^***	675.9998^***	727.6071^***
Turnover	0.0196^***	0.0205^***	0.0185^***	0.0188^***	0.0161^***	0.0167^***
_cons	-0.2867^***	-0.3046^***	-0.3197^***	-0.3389^***	-0.3132^***	-0.3269^***
Number	55043	55043	52684	52684	50398	50398
个股固定效应	√	√	√	√	√	√
时间固定效应	√	√	√	√	√	√

变量	(1c) 市场杠杆 0~25%	(2c) 市场杠杆 25%~50%	(3c) 市场杠杆 50%~75%	(4c) 市场杠杆 75%~100%	(5c) 全样本	(6c) 全样本
ChgLev	0.2175	-0.3100^*	2.0052	0.4600^***	0.1170^***	0.1200^***
MakLev×ChgLev	-6.1923	8.8037^*	-38.4032	-14.2878^***	-	-
MakLev×Up	-	-	-	-	0.7800	-
MakLev×Down	-	-	-	-	-	-3.5923^***
Size	-4.36e-7	2.68e-7	3.12e-6	7.44e-7	2.43e-6	2.59e-6
Ret	1.0642^***	0.6026^***	1.9174^***	-1.7655^***	-0.1077	-0.2664^***
PB	0.0044	0.0032^***	0.0069	-0.0022^***	-0.0011	-0.0010
Prc	0.0004	0.0002	0.0006	0.0085^***	0.0003	0.0003
Beta	0.0155	0.0110^***	0.1054^**	0.1735^***	0.0832	0.0877^***
IR	-527.2121^***	-198.1914^***	-735.1951^***	-139.2300^***	-176.2149^***	-172.1354^***
Turnover	0.0196^***	0.0091^***	1.13046^***	0.7325^***	0.0399^***	0.0412^***
_cons	0.0818	-0.1331^***	1.2767^***	-0.9010^***	0.0450^***	0.0794
Number	16094	16080	13753	22065	67992	67992
个股固定效应	√	√	√	√	√	√
时间固定效应	√	√	√	√	√	√

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Will Leveraged Trading Increase the Liquidity of the Stock Market? Empirical Analysis Based on Individual Stocks of Micro-Level

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