Retail investors' trading and stock market liquidity

被引：22

作者：

Abudy, Menachem Meni ^{[1
]}

机构：

[1] Bar Ilan Univ, Grad Sch Business Adm, Ramat Gan, Israel

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2020年 / 54卷

基金：

以色列科学基金会;

关键词：

Retail investors; Liquidity; Stock market liquidity; INDIVIDUAL INVESTORS; FINANCIAL LITERACY; CROSS-SECTION; ILLIQUIDITY; ATTENTION; PRICES; ASK;

D O I：

10.1016/j.najef.2020.101281

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The paper investigates the relation between retail investors' participation in trading and aggregate stock market liquidity. The findings show a positive and significant relation between retail investors' trading and stock market liquidity. Examination of the determinants of retail investors' trading reveals that, on average, retail investors with more diversified trading activity tend to trade when liquidity is higher, the frequency of their arrival to the market is not affected by the level of liquidity, and retail investors are willing to trade at a lower liquidity level as sellers than as buyers. Moreover, retail investors' trading does not create price noise at the aggregate market level. Overall, the evidence suggests that retail investors contribute to market quality.

引用

页数：12

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