The impact of Robinhood traders on the volatility of cross-listed securities

被引：6
作者：
Aharon, David Y. [1 ]
Baig, Ahmed S. [2 ]
Delisle, R. Jared [3 ]
机构：
[1] Ono Acad Coll, Fac Business Adm, Tzahal St 104, Kiryat Ono, Israel
[2] Boise State Univ, Coll Business & Econ, Dept Finance, Boise, ID 83725 USA
[3] Utah State Univ, Jon M Huntsman Sch Business, 3565 Old Main Hill, Logan, UT 84322 USA
来源：
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2022年 / 60卷
关键词：
ADR; American depository receipts; Volatility; Retail Investors; Commission free trading; Robinhood; UNITED-STATES; MARKET-SEGMENTATION; ARBITRAGE; LISTINGS; FIRMS; INVESTORS; COST;
D O I：
10.1016/j.ribaf.2022.101619
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates the impact of Robinhood investors' participation on the volatility of American depository receipts (ADRs). Using data on Robinhood account holdings in 382 ADRs from 33 countries around the globe, we show that their activity amplifies the cross-listed securities volatility. While Robinhood investors' involvement has soared in recent years, seemingly supplying additional trading liquidity, this provision appears to be associated with a deterioration of ADR stability. The detrimental effect holds across the COVID-19 period and is not subsumed by home-country pandemic intensity measures. Since the law of one price suggests that increased ADR volatility will negatively impact the underlying stocks in their home markets, our results have important implications for various government and market policy makers as well as for home-country firms considering cross-listing their stocks.
引用
收藏
页数：9
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