Margin trading and spillover effects: Evidence from the Chinese stock markets

Shengjie Zhou, Qing Ye*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Citations (Scopus)


Using a sample of Chinese stocks, we demonstrate that liquidity and return in stocks with margin trading can spread to other stocks causing spillover effects. Furthermore, the level of margin interest has a positive relation with the degree of spillover effects from relevant stocks. In addition to the deleverage mechanism which has received support from recent studies, we propose the cross-asset learning behavior in stock markets as a new mechanism to explain such relation. The mediation models suggest that the cross-asset learning mechanism can explain a large proportion of the relation between margin trading and spillover effects in stock markets.

Original languageEnglish
Article number101005
JournalEmerging Markets Review
Publication statusPublished - Mar 2023


  • Chinese stock market
  • Cross-asset learning
  • Deleverage
  • Margin trading
  • Spillover effect


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