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- Title
MARGIN-TRADING ACTIVITIES AND FUTURE STOCK RETURNS: NEW EVIDENCE FROM NONLINEAR ANALYSIS.
- Authors
RUAN, QINGSONG; ZHANG, JIARUI; ZHOU, YAPING; LV, DAYONG
- Abstract
Using multifractal detrended cross-correlation analysis (MF-DCCA) and nonlinear Granger causality test, this paper examines the return predictability of margin-trading activities. Results show that the predictive power of margin-trading activities on subsequent stock returns varies with respect to the different aspects of margin trading. In line with previous studies, we find no significant correlation between margin-buying amount and subsequent stock returns. However, the margin-covering amount is negatively associated with subsequent stock returns; and margin debt is positively associated with the future stock returns. In general, our findings suggest that margin traders may have no positive information when they conduct a margin-buying position, but may possess negative information when covering their positions.
- Subjects
FUTURES; NONLINEAR analysis; GRANGER causality test; MARGINS (Security trading); FRACTAL analysis; DEBT
- Publication
Fractals, 2020, Vol 28, Issue 6, pN.PAG
- ISSN
0218-348X
- Publication type
Article
- DOI
10.1142/S0218348X20501261