Margin trading and price efficiency: information content or price‐adjustment speed?

Dayong Lv and Wenfeng Wu

Accounting and Finance, 2020, vol. 60, issue 3, 2889-2918

Abstract: The literature offers contradictory views on the effect of margin‐trading activities on price efficiency. Based on data from a Chinese margin‐trading pilot programme in 2010, we separate price efficiency into information content and price‐adjustment speed and investigate the effect of margin‐trading activity on price efficiency. We find that after adding to the eligible list, pilot stocks experience a decrease in information content, but an increase in price‐adjustment speed. Furthermore, increased margin‐buying activities are associated with lower information content, but faster price adjustment. Our results reconcile the debate over the effect of margin trading on price efficiency.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://doi.org/10.1111/acfi.12403

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:acctfi:v:60:y:2020:i:3:p:2889-2918

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0810-5391

Access Statistics for this article

Accounting and Finance is currently edited by Robert Faff

More articles in Accounting and Finance from Accounting and Finance Association of Australia and New Zealand Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().