The Asymmetric Effects of Margin Trading on Stock Liquidity

• Main Authors: CHEN, SHAO-HUANG, 陳少皇
• Other Authors: LIN, MING-CHIN
• Format: Others
• Language: zh-TW
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/3xfyzs

碩士 === 朝陽科技大學 === 財務金融系 === 106 === This paper discusses the asymmetric effects of margin trading on stock liquidity when balance of margin goes up or down. Furthermore, we observe whether the effects will strengthen if capital in the market becomes tight. Margin trading will lead investors to demand more assets liquidity. For instance, financial crisis made huge impacts on margin trading in 2008. Therefore, we believe the effects of margin balance changes on asset liquidity are stronger when margin balance declines. This study selects the data from the stocks included in Taiwan Mid Cap 100 index. The sample period is from January 2008 to December 2017. We use regression model to examine the asymmetric effects of margin trading on stock liquidity for individual stocks. The empirical results show that the margin trading has significant asymmetric effect on stock liquidity, and that asymmetric effects are stronger when capital in the market becomes tight. In addition, market volatility shows significant positive effects, and individual stock volatility shows significant negative effects.