Trader Leverage and Liquidity
利用印度保证金交易系统的独特规则，通过断点回归设计发现，交易者借贷能力提升股票流动性，且该效应由逆向交易策略驱动，但在危机中因去杠杆而逆转。
ABSTRACT Does trader leverage drive equity market liquidity? We use the unique features of the margin trading system in India to identify a causal relationship between traders’ ability to borrow and a stock's market liquidity. To quantify the impact of trader leverage, we employ a regression discontinuity design that exploits threshold rules that determine a stock's margin trading eligibility. We find that liquidity is higher when stocks become eligible for margin trading and that this liquidity enhancement is driven by margin traders’ contrarian strategies. Consistent with downward liquidity spirals due to deleveraging, we also find that this effect reverses during crises.