DIVERGENT OPINION, TRADING INFORMATION, AND STOCK PRICE CO-MOVEMENTS
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
Original language | English |
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Pages (from-to) | 1-21 |
Journal / Publication | Advances in Pacific Basin Business, Economics and Finance |
Volume | 8 |
Online published | 9 Sept 2020 |
Publication status | Published - Sept 2020 |
Link(s)
DOI | DOI |
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Permanent Link | https://scholars.cityu.edu.hk/en/publications/publication(093fa5b9-c069-4807-9b76-afb643406695).html |
Abstract
Although stock price co-movement has been examined extensively, its causes are not well understood. Using a decomposition method, we extract three information components from the turnover rate: market information, firm-specific information, and investors’ opinion divergence. We find that market information strengthens stock price co-movement, whereas firm-specific information weakens it. Moreover, our analysis shows that divergence of investors’ opinion increases stock price variations but weakens price co-movement.
Research Area(s)
- Stock price co-movement, trading activity, information content, investors’ opinion divergence, heterogeneous belief, market information, firm-specific information
Bibliographic Note
Research Unit(s) information for this publication is provided by the author(s) concerned.
Citation Format(s)
DIVERGENT OPINION, TRADING INFORMATION, AND STOCK PRICE CO-MOVEMENTS. / Chen, Lin; Wang, Junbo; Wu, Chunchi et al.
In: Advances in Pacific Basin Business, Economics and Finance, Vol. 8, 09.2020, p. 1-21.
In: Advances in Pacific Basin Business, Economics and Finance, Vol. 8, 09.2020, p. 1-21.
Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review