The Drivers and Implications of Retail Margin Trading
利用中国监管和非监管保证金账户的微观数据，发现散户加杠杆交易源于彩票偏好，且保证金交易导致投资者在接近追保时更易平仓，进而影响股价并引发冲击跨股票传染。
ABSTRACT 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).