DIVERGENT OPINION, TRADING INFORMATION, AND STOCK PRICE CO-MOVEMENTS

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Detail(s)

Original languageEnglish
Pages (from-to)1-21
Journal / PublicationAdvances in Pacific Basin Business, Economics and Finance
Volume8
Online published9 Sept 2020
Publication statusPublished - Sept 2020

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

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Research Unit(s) information for this publication is provided by the author(s) concerned.