Using multifractal detrended cross-correlation analysis (MF-DCCA) and nonlinear Granger causality test, this paper examines the return predictability of margin-trading activities. Results show that the predictive power of margin-trading activities on subsequent stock returns varies with respect to the different aspects of margin trading. In line with previous studies, we find no significant correlation between margin-buying amount and subsequent stock returns. However, the margin-covering amount is negatively associated with subsequent stock returns; and margin debt is positively associated with the future stock returns. In general, our findings suggest that margin traders may have no positive information when they conduct a margin-buying position, but may possess negative information when covering their positions.

中文翻译：

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保证金交易活动和未来股票回报：来自非线性分析的新证据

本文使用多重分形去趋势互相关分析 (MF-DCCA) 和非线性格兰杰因果检验，检验了保证金交易活动的收益可预测性。结果表明，保证金交易活动对后续股票收益的预测能力因保证金交易的不同方面而异。与之前的研究一致，我们发现保证金购买量与随后的股票收益之间没有显着相关性。然而，保证金覆盖金额与后续股票收益呈负相关；保证金债务与未来股票收益呈正相关。总的来说，我们的研究结果表明，保证金交易者在进行保证金买入头寸时可能没有正面信息，但在回补头寸时可能拥有负面信息。