Effects of Credit Expansions on Stock Market Booms and Busts

• 成果类型: Article
• 署名作者: Hansman, Christopher; Hong, Harrison; Jiang, Wenxi; Liu, Yu-Jane; Meng, Juan-Juan
• 署名单位: Emory University; Columbia University; Chinese University of Hong Kong; Peking University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhaf008
• 发表日期: 2025-05
• 页码: 1502-1544
• 关键词: G01; G11; G12; G18; Margin requirements; price; leverage; RISK; manipulation; INFORMATION; CRISIS; POLICY

摘要

There is causal evidence that mortgage credit expansions increase house prices. Does an expansion of margin lending increase stock prices? Because unconstrained arbitrageurs are more important for pricing stocks than homes, the impact is not obvious. Tests are limited because sizable shocks to margin lending are rare. We examine a major Chinese margin-lending expansion between 2010 and 2015. Institutional holding, regression discontinuity, and event study evidence-exploiting the rollout of margin lending across stocks-shows that arbitrageurs anticipated and bought in advance of a significant causal effect of credit. We develop a model to rationalize our findings. Our estimates suggest that margin debt contributes to stock market fluctuations.