中国互联市场的信息价值

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Empirical Finance Pub Date : 2024-08-08 DOI:10.1016/j.jempfin.2024.101526

Keqi Chen , Yuehan Wang , Xiaoquan Zhu

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引用次数: 0

摘要

本文将 "股票通 "作为一个新颖的实验室，研究信息在跨境交易中的作用。我们提出的证据表明，与国内机构投资者相比，北向投资者在公司基本面方面具有额外的信息优势。在对中国三因素模型进行调整后，多空策略的平均周收益率为 0.34%。此外，在信息不对称的环境下，北向投资者的信息优势可能会发挥更大作用。此外，北向资金流动有助于解释国内投资者的后续交易活动，随着时间的推移，在经历了更多关注引发的山寨交易的公司中，北向资金流动会变得更加突出。

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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The value of information in China’s connected market

The paper studies the role of information in cross-border trading by using the Stock Connect as a novel laboratory. We present evidence that northbound investors have an additional informational advantage over domestic institutional investors regarding firm fundamentals. A long-short strategy earns an average weekly return of 0.34% after adjusting for the Chinese three-factor model. Furthermore, the information advantage of northbound investors is likely to work to a greater effect in asymmetric information environments. Additionally, northbound flows are useful in explaining the subsequent trading activities of domestic investors, which becomes more salient over time and among firms experiencing more attention-induced copycat trading.

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来源期刊

Journal of Empirical Finance Multiple-

CiteScore

3.40

自引率

3.80%

发文量

期刊介绍： The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.