Information, sentiment, and margin trading of Chinese stock market

Hai Lin, Pengfei Liu and Cheng Zhang

Accounting and Finance, 2025, vol. 65, issue 1, 81-108

Abstract: This paper examines whether information or sentiment drives margin trading in the Chinese stock market. At the aggregate level, no conclusive evidence indicates a dominance of either information‐driven or sentiment‐driven margin trading activities. However, at the individual firm level, we observe both types of margin trading, underscoring the need to consider the heterogeneity of margin trading when reconciling previous research findings. Moreover, we find that the likelihood of sentiment‐driven margin trading significantly declined following regulators' implementation of stricter rules for margin trading in 2015.

Date: 2025
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