Retail investors, COVID and the quality of the New Zealand Stock Exchange

IF 2 4区管理学 Q3 BUSINESS

Australian Journal of Management Pub Date : 2024-04-27 DOI:10.1177/03128962241246675

Aaron Gilbert, Alireza Tourani-Rad

引用次数: 0

Abstract

In this article, we investigate the impact of the influx of retail investors during the COVID-19 lockdowns on the New Zealand Stock Exchange on the efficiency of the market. On one hand, these investors bring added liquidity to the market, which generally improves market efficiency, and on the other hand, many of these investors were inexperienced retail traders who are often viewed as noise traders harming market efficiency. This natural experiment allows us to investigate the impact of retail investors. Using a sample of 99 New Zealand Exchange listed companies, we collect intraday price and quote data from 1 January 2019 to 24 March 2021. We compute a range of market quality measures across three categories: trading costs, price efficiency and speed of information incorporation. Our results clearly indicate that the influx of retail investors has reduced market quality; in particular, we observe more price predictability and information being impounded into prices more slowly.JEL Classification: C10, G14, G20

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散户投资者、COVID 和新西兰证券交易所的质量

在本文中，我们研究了在 COVID-19 禁售期间大量散户投资者涌入新西兰证券交易所对市场效率的影响。一方面，这些投资者为市场带来了额外的流动性，这通常会提高市场效率；另一方面，这些投资者中有许多是缺乏经验的散户交易者，他们通常被视为损害市场效率的噪音交易者。通过这一自然实验，我们可以研究散户投资者的影响。我们以 99 家新西兰交易所上市公司为样本，收集了 2019 年 1 月 1 日至 2021 年 3 月 24 日的盘中价格和报价数据。我们计算了一系列市场质量指标，包括交易成本、价格效率和信息整合速度三类。我们的结果清楚地表明，散户投资者的涌入降低了市场质量；特别是，我们观察到更多的价格可预测性和信息融入价格的速度更慢：C10、G14、G20

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Australian Journal of Management Multiple-

CiteScore

10.60

自引率

4.20%

发文量

期刊介绍： The objectives of the Australian Journal of Management are to encourage and publish research in the field of management. The terms management and research are both broadly defined. The former includes the management of firms, groups, industries, regulatory bodies, government, and other institutions. The latter encompasses both discipline- and problem-based research. Consistent with the policy, the Australian Journal of Management publishes research in accounting, applied economics, finance, industrial relations, political science, psychology, statistics, and other disciplines, provided the application is to management, as well as research in areas such as marketing, corporate strategy, operations management, organisation development, decision analysis, and other problem-focuses paradigms.