Margin borrowing, stock returns, and market volatility: evidence from margin credit balance

DOI10.1016/J.ECONLET.2004.12.007zbMath1254.91534OpenAlexW2083059972MaRDI QIDQ1927822

Wei David Zhang, Mojtaba Seyedian, Jin-liang Li

Publication date: 2 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2004.12.007

zbMATH Keywords

stock returnsmarket volatilityleverage

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Stochastic models in economics (91B70) Credit risk (91G40)

Related Items (1)

MARGIN-TRADING ACTIVITIES AND FUTURE STOCK RETURNS: NEW EVIDENCE FROM NONLINEAR ANALYSIS

Cites Work

• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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