The Drivers and Implications of Retail Margin Trading

• 成果类型: Article
• 署名作者: Bian, Jiangze; Da, Zhi; He, Zhiguo; Lou, Dong; Shue, Kelly; Zhou, Hao
• 署名单位: University of International Business & Economics; University of Notre Dame; Stanford University; National Bureau of Economic Research; Hong Kong University of Science & Technology; Centre for Economic Policy Research - UK; Yale University; Tsinghua University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082; 1540-6261
• DOI: 10.1111/jofi.70049
• 发表日期: 2026-08
• 页码: 2217-2270
• 关键词: asset fire sales; stock-market; leverage; requirements; equilibrium; volatility; liquidity; MODEL; debt

摘要

Using granular data covering both regulated (brokerage-financed) and unregulated (shadow-financed) margin accounts in China, we provide novel evidence on retail investors' margin trading behavior and its price implications. We first show that retail investors' decisions to lever up in stock trading despite the hefty borrowing cost is related to their lottery preferences. We then show that margin borrowing affects investors' trading behavior-investors are more likely to liquidate their holdings as they approach margin calls. Finally, we show that margin-induced trading aggregates to affect asset prices and contributes to shock spillovers across stocks (e.g., from lottery stocks to nonlottery stocks).