胡聪慧, Yu-Jane Liu, and Ning Zhu. (2021). "Deleveraging commonality." Journal of Financial Markets (SSCI, ABS 3). 53. ( https://doi.org/10.1016/j.finmar.2020.100582 )
We empirically show that stock-level margin trading commoves significantly with market-aggregate margin trading even after controlling for market return and market-wide liquidity. The commonality during the deleveraging process is more pronounced than when leverage increases, and deleveraging commonality contributes to the decline in stock liquidity and heightened surges in liquidity commonality. We also find that market-aggregate margin trading exerts a much larger impact on selling and investors’ order submission strategies than its stock-level counterpart during market crashes. Overall, recognizing the existence of commonality offers a simple and alternative way to think about the systematic risk associated with leverage trading.