Retail Investors and Stock Price Synchronicity

被引：1
|
作者：
Wu, Wenfeng [1 ]
Rui, Oliver M. [2 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200030, Peoples R China
[2] China Europe Int Business Sch, Shanghai 201206, Peoples R China
来源：
REVIEW OF PACIFIC BASIN FINANCIAL MARKETS AND POLICIES | 2022年 / 25卷 / 03期
关键词：
Retail investors; synchronicity; R-2; price comovement; PIN; China; FIRM-SPECIFIC INFORMATION; INSTITUTIONAL INVESTORS; ARBITRAGE RISK; OWNERSHIP; MARKET; SENTIMENT; BREADTH;
D O I：
10.1142/S0219091522500187
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
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页数：31
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