
BOOK
Margin borrowing, stock returns, and market volatility: Evidence from margin credit balance [An article from: Economics Letters]
J. Li
$4.95
About this product:
This digital document is a journal article from Economics Letters, published by Elsevier in 2005. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
We use margin credit balance as a measure of leverage to examine the time series relation among margin borrowing, stock returns, and market volatility. We observe a strong market momentum effect and a significant causal relation between prior stock returns and both leverage and volatility.