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- W3136587718 abstract "Using a sample of Chinese stocks, we demonstrate that liquidity and price movements in stocks with investor leverage can spill out to other stocks within a day causing the intraday lead-lag relations in stock markets. In addition, we provide evidence suggesting that leverage positions in leveraged stocks contribute to the degree of their leading effects. In particular, margin interest is positively associated with the leading effects in both return and liquidity and short interest is positively associated with the leading effect in return. Finally, we employ the mediation models to gauge the mechanisms through which the lead-lag relation may appear. We find that both the deleverage process of the leveraged traders and the cross-asset learning behavior of the investors are important driving forces for the leading effect of the leveraged stocks. Evidence in this paper helps us to understand how and why liquidity and return commonality across stocks are formed." @default.
- W3136587718 created "2021-03-29" @default.
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- W3136587718 date "2020-01-01" @default.
- W3136587718 modified "2023-09-24" @default.
- W3136587718 title "Investor Leverage and Intraday Lead-Lag Relations in Stock Markets" @default.
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- W3136587718 doi "https://doi.org/10.2139/ssrn.3667743" @default.
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