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.
| 源语言 | 英语 |
|---|---|
| 期刊 | Review of Pacific Basin Financial Markets and Policies |
| 卷 | 25 |
| 期 | 3 |
| DOI | |
| 出版状态 | 已出版 - 2022 |
Corresponding author email
wfwu@sjtu.edu.cn成果物的来源
- ABDC-B
- ESCI
指纹
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Wu, W., & Rui, O. M. (2022). Retail Investors and Stock Price Synchronicity. Review of Pacific Basin Financial Markets and Policies, 25(3). https://doi.org/10.1142/S0219091522500187