Article ID Journal Published Year Pages File Type
9549291 Economics Letters 2005 6 Pages PDF
Abstract
We use margin credit balance as a measure of leverage to examine the time series relation among margin borrowing, stock returns, and market volatility. We observe a strong market momentum effect and a significant causal relation between prior stock returns and both leverage and volatility.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Margin borrowing, stock returns, and market volatility: Evidence from margin credit balance
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