Retail Investors and Stock Price Synchronicity
REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES(2022)
摘要
In this study, we use the number of retail investors in China's stock market to investigate how retail investors affect stock price synchronicity. We find that a higher number of retail investors in a firm is associated with higher stock price synchronicity. Moreover, we trace this association to two sources. One is a negative effect of the number of retail investors on the probability of informed trading (PIN), suggesting that retail investors generate arbitrage risk which discourages informed trading. The other is a positive influence of the number of retail investors on price comovement (beta), resulting from correlated trading among retail investors.
更多查看译文
关键词
Retail investors, synchronicity, R-2, price comovement, PIN, China
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要