Does retail trading matter to price discovery?

IF 1.2 4区经济学 Q3 ECONOMICS

German Economic Review Pub Date : 2020-07-01 DOI:10.1515/ger-2019-0041

Tao Chen

引用次数: 1

Abstract

Abstract The diminishing importance of retail investors and the institutionalization of markets are arguably a result of the general perception that individuals are not well informed and, hence, are better off using professional services (Davis, 2009). However, this paper provides evidence supporting the opposite. Using a global sample, we examine whether retail trading is informative around the world. Overall, retail investors are documented to enhance price efficiency by trading in the same direction as permanent price changes, contributing 24.8 % to price discovery, and accelerating the information from both scheduled and unscheduled news to be impounded into prices.

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零售交易对价格发现有影响吗?

散户投资者重要性的下降和市场的制度化可以说是由于人们普遍认为个人信息不充分，因此最好使用专业服务(Davis, 2009)。然而，本文提供的证据支持相反的观点。使用全球样本，我们检查零售交易是否在全球范围内具有信息性。总体而言，散户投资者通过与永久价格变化相同的方向进行交易来提高价格效率，为价格发现贡献了24.8%，并加速了预定和非预定新闻的信息被捕获到价格中。

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

German Economic Review ECONOMICS-

CiteScore

2.30

自引率

9.10%

发文量

期刊介绍： German Economic Review, the official publication of the German Economic Association (Verein für Socialpolitik), is an international journal publishing original and rigorous research of general interest in a broad range of economic disciplines, including: - macro- and microeconomics - economic policy - international economics - public economics - finance - business administration The scope of research approaches includes theoretical, empirical and experimental work. Innovative and thought-provoking contributions, in particular from younger authors, are especially welcome.