Retail Investors and Stock Price Synchronicity

Wenfeng Wu (First Author), Oliver M. Rui (Participant Author)

Research output: Contribution to journalJournal


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.
Original languageEnglish
JournalReview of Pacific Basin Financial Markets and Policies
Issue number3
Publication statusPublished - 2022

Corresponding author email


  • China
  • PIN
  • R 2
  • Retail investors
  • price comovement
  • synchronicity

Indexed by

  • ABDC-B
  • ESCI


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