Asymmetric trading restriction and return comovement

IF 5.4 2区 经济学 Q1 BUSINESS, FINANCE
Hongbing Zhu , Lihua Yang , Bing Zhang
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引用次数: 0

Abstract

This study decomposes the overall return comovement into intraday and overnight comovement based on a model-free framework. It shows that intraday return comovement contributes the most to the overall return comovement, but the impact of overnight return comovement is persistent. Investors under the market with asymmetric trading restrictions (ATR) tend to sell stocks early in the market and buy them near the end of the market. This correlated trading behavior contributes to the specific comovement in stock returns, especially the overnight return. Our findings remain solid even after controlling for more stock attributes and changing the proxies for return comovement and investor trading behavior. We also document a weakening (reinforcing) effect of the short-selling mechanism (disposition effect) on the ATR-induced return comovement. Our results provide a deeper understanding of investors’ trading behavior under ultra-short-term trading restrictions and the source of return comovement in the literature.

非对称交易限制与回报率相关性
本研究基于一个无模型框架,将整体回报率相关性分解为日内相关性和隔夜相关性。研究表明,日内收益率相关性对整体收益率相关性的贡献最大,但隔夜收益率相关性的影响却持续存在。非对称交易限制(ATR)市场下的投资者倾向于在市场初期卖出股票,并在市场末期买入股票。这种相互关联的交易行为导致了股票收益率的特定相关性,尤其是隔夜收益率。即使控制了更多的股票属性,并改变了收益率相关性和投资者交易行为的代理变量,我们的研究结果仍然是可靠的。我们还记录了卖空机制(处置效应)对 ATR 引起的回报率相关性的削弱(强化)效应。我们的研究结果让我们对超短期交易限制下的投资者交易行为以及文献中回报率相关性的来源有了更深入的理解。
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来源期刊
CiteScore
6.60
自引率
10.00%
发文量
142
期刊介绍: International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
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