This paper investigates how variations in stock-level leverage lead to dynamic intraday trading behavior and illiquidity transmission across different stocks by utilizing a unique, precise, stock-level margin trading dataset. We document that leveraged investors' need to meet margin call...

This paper proposes an approach that demands fewer data to estimate the effect of social interaction on stock market participation. Using data available publicly, we construct a sequence of measures of aggregated stock returns that are based on the same stock returns information and embed social...

This paper empirically shows that stock-level margin trading commoves significantly with market-aggregate margin trading even after controlling for market return, market-wide liquidity, and individual determinants of margin trading. A closer examination suggests that the common influences and...