Journal article
Margin trading and comovement during crises
- Abstract:
-
We exploit threshold rules governing margin trading eligibility in India to identify a causal link between margin trading and increased comovement during crises. Margin trading explains more than one-quarter of the increase return comovement that we observe during crises. To understand the mechanisms driving this result, we evaluate the relative importance of stock connections through common brokers (who provide margin financing) versus common margin traders. We find that common brokers are m...
Expand abstract
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Authors
Bibliographic Details
- Publisher:
- Oxford University Press Publisher's website
- Journal:
- Review of Finance Journal website
- Volume:
- 24
- Issue:
- 4
- Pages:
- 813–846
- Publication date:
- 2019-09-27
- Acceptance date:
- 2019-08-27
- DOI:
- EISSN:
-
1573-692X
- ISSN:
-
1572-3097
Item Description
- Language:
- English
- Keywords:
- Subjects:
- Pubs id:
-
pubs:1047925
- UUID:
-
uuid:c7ad5015-7b28-4610-9ed5-981f45903724
- Local pid:
- pubs:1047925
- Source identifiers:
-
1047925
- Deposit date:
- 2019-08-28
Terms of use
- Copyright holder:
- Kahraman and Tookes
- Copyright date:
- 2019
- Rights statement:
- © The Author(s) 2019. Published by Oxford University Press on behalf of the European Finance Association. All rights reserved. This article is published and distributed under the terms of the Oxford University Press, Standard Journals Publication Model.
- Notes:
- This is the accepted manuscript version of the article. The final version is available online from Oxford University Press at: https://doi.org/10.1093/rof/rfz019
- Licence:
- Other
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record