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Can stock trading suspension calm down investors during market crises? 股票停牌能否在市场危机中安抚投资者？
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100934
Weihua Chen , Jennifer Huang , Donghui Shi , Zhongzhi Song
{"title":"Can stock trading suspension calm down investors during market crises?","authors":"Weihua Chen ,&nbsp;Jennifer Huang ,&nbsp;Donghui Shi ,&nbsp;Zhongzhi Song","doi":"10.1016/j.finmar.2024.100934","DOIUrl":"10.1016/j.finmar.2024.100934","url":null,"abstract":"<div><div>We examine the trading behavior of investors facing a large number of firm-initiated stock trading suspension events during the Chinese stock market crisis in July 2015. Using account-level trading data from the Shanghai Stock Exchange, we find that investors with a higher fraction of holding value in suspension sell less (or purchase more) of non-suspended stocks. Consequently, non-suspended stocks whose shareholders have a high average account-level suspension fraction experience a short-term relative price appreciation. This evidence indicates that trading suspension can calm down investors and therefore help to stabilize the volatile market during crises.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100934"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705217","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymmetry and the Cross-section of Option Returns 不对称与期权收益截面*
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100932
Jianqiu Wang , Ke Wu , Sijie Yang , Dexin Zhou
{"title":"Asymmetry and the Cross-section of Option Returns","authors":"Jianqiu Wang ,&nbsp;Ke Wu ,&nbsp;Sijie Yang ,&nbsp;Dexin Zhou","doi":"10.1016/j.finmar.2024.100932","DOIUrl":"10.1016/j.finmar.2024.100932","url":null,"abstract":"<div><div>We propose a novel measure of upside asymmetry based on probability density function that utilizes information from the distribution of option returns. Our analysis of U.S. option data reveals a positive cross-sectional relationship between the upside asymmetry (RML) and subsequent option returns. This relationship cannot be explained by stock or option characteristics studied in previous literature and do not reverse in the following months. Additionally, the relationship is stronger among firms with higher costs of arbitrage. RML robustly predicts future realized and implied volatilities after controlling for historical volatility and lagged implied volatility.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100932"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141850545","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
December doldrums, investor distraction, and the stock market reaction to unscheduled news events 十二月低迷、投资者分心以及股市对计划外新闻事件的反应
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100928
Sudheer Chava , Nikhil Paradkar
{"title":"December doldrums, investor distraction, and the stock market reaction to unscheduled news events","authors":"Sudheer Chava ,&nbsp;Nikhil Paradkar","doi":"10.1016/j.finmar.2024.100928","DOIUrl":"10.1016/j.finmar.2024.100928","url":null,"abstract":"<div><div>We examine how investor distraction during the December holiday season impacts the stock market’s reaction to salient firm-specific news. We find that both retail and institutional investor attention is significantly lower in December. Importantly, only unscheduled credit rating downgrades and 8-K filings experience lower investor attention in December; we find no equivalent effect for pre-scheduled earnings announcements. Consistently, we document significantly weaker market responses in December toward unscheduled firm news only. Firm prominence mitigates this December distraction effect. Our results highlight how investor distraction in December can lead to a muted market reaction to unscheduled, but salient, firm-specific news.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100928"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141501048","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Short selling and the pricing of PIN information risk 卖空与 PIN 信息风险定价
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100931
Chen Chen , Qiqi Liang , Chris Stivers , Licheng Sun
{"title":"Short selling and the pricing of PIN information risk","authors":"Chen Chen ,&nbsp;Qiqi Liang ,&nbsp;Chris Stivers ,&nbsp;Licheng Sun","doi":"10.1016/j.finmar.2024.100931","DOIUrl":"10.1016/j.finmar.2024.100931","url":null,"abstract":"<div><div>We present evidence that the pricing of the probability of informed trading (PIN) information risk varies substantially with stocks’ short selling environment. For lightly shorted stocks, their risk-adjusted returns (alphas) increase reliably with both the good news (PIN_G) and bad news (PIN_B) components of their PIN. The positive PIN-alpha relations decline and then disappear as stocks’ shorting activity increases. Our findings are consistently evident with shorting-interest, shorting-flow, and the probability of informed shorting, and are more prominent for smaller-cap stocks. Our findings support theories where asymmetric information with imperfectly competitive markets can impact stocks’ cost of equity.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100931"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141930798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Arbitrage opportunities and efficiency tests in crypto derivatives 加密货币衍生品中的套利机会和效率测试
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100930
Carol Alexander , Xi Chen , Jun Deng , Tianyi Wang
{"title":"Arbitrage opportunities and efficiency tests in crypto derivatives","authors":"Carol Alexander ,&nbsp;Xi Chen ,&nbsp;Jun Deng ,&nbsp;Tianyi Wang","doi":"10.1016/j.finmar.2024.100930","DOIUrl":"10.1016/j.finmar.2024.100930","url":null,"abstract":"<div><div>We test the joint efficiency of the bitcoin and ether options and perpetual futures markets and identify the determinants of arbitrage opportunities. Our novel fiat-currency-free put–call parity relationship motivates new arbitrage tests for options-only and option–perpetual cross-markets. Bitcoin and ether derivatives markets are becoming more efficient, especially for options of maturity <span><math><mo>≥</mo></math></span> 15 days. Bitcoin derivative markets are generally more efficient than ether derivative markets, but arbitrage strategies can still be highly profitable even under conservative transaction cost scenarios, which include slippage for large orders, especially during periods of high trading volumes or when the blockchain traffic becomes more congested.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100930"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142177298","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financial congestion 财务拥挤
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100933
Deniz Okat
{"title":"Financial congestion","authors":"Deniz Okat","doi":"10.1016/j.finmar.2024.100933","DOIUrl":"10.1016/j.finmar.2024.100933","url":null,"abstract":"<div><div>Individuals have an increased incentive to invest when they know that they can sell their investments whenever they need funds. However, this increase in investments can also lead to a reduction in aggregate returns, as it exacerbates the negative externalities that individuals impose on each other whenever they invest. As a result, setting up a financial market that allows individuals to trade their assets may reduce welfare as it can amplify these negative externalities and lead to suboptimal investment decisions.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100933"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141930797","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Robinhood, Reddit, and the news: The impact of traditional and social media on retail investor trading Robinhood、Reddit 和新闻：传统媒体和社交媒体对散户投资者交易的影响
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100929
Markus Münster , Felix Reichenbach , Martin Walther
{"title":"Robinhood, Reddit, and the news: The impact of traditional and social media on retail investor trading","authors":"Markus Münster ,&nbsp;Felix Reichenbach ,&nbsp;Martin Walther","doi":"10.1016/j.finmar.2024.100929","DOIUrl":"10.1016/j.finmar.2024.100929","url":null,"abstract":"<div><div>We study the impact of social media posts and news articles on retail trading on Robinhood by analyzing the net buying activity before and after a (social) media publication. Our findings indicate that both publication types lead to an increase of holders. However, both effects are short-lived, and the effect of social media posts on retail trading is significantly higher. Furthermore, investors buy stocks that are recommended on Reddit regardless of text sentiment. However, they act as contrarians by selling stocks with positive news coverage and vice versa. We thus find evidence for both attention- and information-driven trading behavior.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100929"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141706653","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Institutional investor cliques and stock price efficiency: Evidence from China 机构投资者小团体与股票价格效率：来自中国的证据
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-11-01 DOI: 10.1016/j.finmar.2024.100935
Xiaodong Guo , Caiji Pang , Zheng Qiao , Xiangkun Yao
{"title":"Institutional investor cliques and stock price efficiency: Evidence from China","authors":"Xiaodong Guo ,&nbsp;Caiji Pang ,&nbsp;Zheng Qiao ,&nbsp;Xiangkun Yao","doi":"10.1016/j.finmar.2024.100935","DOIUrl":"10.1016/j.finmar.2024.100935","url":null,"abstract":"<div><div>We investigate the impact of coordinating groups of institutional investors (cliques) on stock price efficiency in China. Employing the Louvain algorithm, we identify institutional investor cliques based on their holding networks and observe strongly correlated trading behaviors among clique members. Our baseline findings document that institutional investor clique ownership impedes stock price efficiency. We also provide a potential mechanism suggesting that this impediment effect arises from reduced information acquisition by clique members. Our additional analyses suggest that the inefficient stock prices induced by institutional cliques may exacerbate stock bubbles and increase the stock price crash risk.</div></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"71 ","pages":"Article 100935"},"PeriodicalIF":2.1,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142705262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Synchronous social media and the stock market 同步社交媒体与股票市场
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100915
{"title":"Synchronous social media and the stock market","authors":"","doi":"10.1016/j.finmar.2024.100915","DOIUrl":"10.1016/j.finmar.2024.100915","url":null,"abstract":"<div><p>I examine stock discussions from real-time (synchronous) group chats on Discord and compare them with forum-style (asynchronous) postings on Reddit’s WallStreetBets. Findings suggest that popular stocks on Discord include fewer ”meme” stocks and are more diverse and profitable. A Discord-based long-short strategy outperforms several comparable strategies. Discord-based popularity predicts future trading volume, volatility, and returns, and this effect is stronger for smaller stocks. By contrast, popularity on WallStreetBets or on both platforms correlates with lower returns. Results suggest that academicians and practitioners should consider social interaction settings when evaluating the impact of social media on investment decisions.</p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100915"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141198458","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Margin trading, short selling, and information asymmetry 保证金交易、卖空和信息不对称
IF 2.1 2区 经济学
Journal of Financial Markets Pub Date : 2024-09-01 DOI: 10.1016/j.finmar.2024.100926
Minggang Xu , Xueyong Zhang , Yeqing Zhang
{"title":"Margin trading, short selling, and information asymmetry","authors":"Minggang Xu ,&nbsp;Xueyong Zhang ,&nbsp;Yeqing Zhang","doi":"10.1016/j.finmar.2024.100926","DOIUrl":"10.1016/j.finmar.2024.100926","url":null,"abstract":"<div><p>We investigate the impact of margin trading and short selling (MTSS) on information asymmetry<span><span> using data from a unique Chinese pilot<span> program that permits MTSS for a specific list of stocks. We establish a theoretical framework indicating that MTSS enhances the pricing system’s informativeness, leading to reduced </span></span>information asymmetry. Motivated by this theoretical framework, we design a quasi-experiment to analyze data from 2013 to 2016. We find that indeed MTSS weakens information asymmetry. Furthermore, the reduction of information asymmetry can be attributed to both margin trading and short selling.</span></p></div>","PeriodicalId":47899,"journal":{"name":"Journal of Financial Markets","volume":"70 ","pages":"Article 100926"},"PeriodicalIF":2.1,"publicationDate":"2024-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142117726","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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