Purpose

Broker-dealer leverage volatility increases during booms and crisis periods, but its impact on stock prices is relatively unexplored. This paper aims to investigate whether broker-dealer leverage volatility is a key driver for stock prices.

Design/methodology/approach

This paper collects the US quarterly data of broker-dealer book leverage and three leading stock market indicators (S&P 500, DJIA and Nasdaq) for the period of 1967–2018. The research uses a multivariate GARCH-in-mean VAR to examine the impact of leverage volatility on each of the stock market indicators. A split-sample analysis (pre-1990 and post-1990) has also been performed to show the robustness of the result.

Findings

The research finds that broker-dealer leverage volatility does not have any significant impact on stock prices.

Originality/value

Broker-dealers are important financial intermediaries, and there is a huge literature exploring the relationship between their leverage and asset prices. But, the relationship between broker-dealer leverage volatility and asset prices is not explored yet. This study fills the gap and provides the first evidence that broker-dealer leverage volatility does not play any major role in the theory of stock pricing. The research proposes that the stock holding decisions of the investors should depend only on the first moment of leverage and not on the second moment of leverage. The study concludes that high broker-dealer leverage volatility is not a sinister signal for the US stock market.

中文翻译：

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经纪自营商杠杆波动和美国股票价格

目的

在繁荣和危机时期，经纪自营商的杠杆波动性会增加，但它对股价的影响相对来说还没有被探索过。本文旨在调查经纪自营商杠杆波动是否是股价的关键驱动因素。

设计/方法/方法

本文收集了 1967 年至 2018 年期间美国经纪自营商账面杠杆和三个主要股市指标（标准普尔 500 指数、道琼斯工业指数和纳斯达克指数）的季度数据。该研究使用多元 GARCH 均值 VAR 来检查杠杆波动对每个股票市场指标的影响。还进行了拆分样本分析（1990 年前和 1990 年后）以显示结果的稳健性。

发现

研究发现，经纪自营商杠杆波动对股价没有任何显着影响。

原创性/价值

经纪自营商是重要的金融中介，有大量文献探讨其杠杆与资产价格之间的关系。但是，经纪自营商杠杆波动与资产价格之间的关系尚未探索。这项研究填补了这一空白，并提供了第一个证据，证明经纪自营商杠杆波动在股票定价理论中没有发挥任何重要作用。研究提出，投资者的持股决策应仅取决于杠杆的第一时刻，而不是杠杆的第二时刻。该研究得出的结论是，经纪自营商杠杆率的高波动性对美国股市来说并不是一个险恶的信号。