Effects of Credit Expansions on Stock Market Booms and Busts
研究保证金贷款扩张是否推高股价，利用中国2010-2015年数据发现套利者提前买入，信贷对股市波动有因果影响。
Abstract 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.