Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic

This study investigates the U.S. stock market efficiency from the symmetric and asymmetric perspectives during the COVID-19 pandemic. We explore that the pandemic boosts (hurts) the information role of symmetrically (asymmetrically) informed trading. Specifically, we find that the epidemic outbreak...

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Detalles Bibliográficos
Autores principales: Xu, Liao, Xue, Mingqi, Zhang, Xuan, Zhao, Yang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9979694/
https://www.ncbi.nlm.nih.gov/pubmed/36910026
http://dx.doi.org/10.1016/j.irfa.2023.102608
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author Xu, Liao
Xue, Mingqi
Zhang, Xuan
Zhao, Yang
author_facet Xu, Liao
Xue, Mingqi
Zhang, Xuan
Zhao, Yang
author_sort Xu, Liao
collection PubMed
description This study investigates the U.S. stock market efficiency from the symmetric and asymmetric perspectives during the COVID-19 pandemic. We explore that the pandemic boosts (hurts) the information role of symmetrically (asymmetrically) informed trading. Specifically, we find that the epidemic outbreak and infection scale strengthen (weaken) the stock return reaction to symmetrically (asymmetrically) informed trading. Evidence also indicates that the effect of symmetrically (asymmetrically) informed trading on stocks' permanent price shocks and price informational efficiency is enhanced (impaired) during the pandemic. Moreover, all these effects are consistently more intensive to informed buys.
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spelling pubmed-99796942023-03-03 Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic Xu, Liao Xue, Mingqi Zhang, Xuan Zhao, Yang Int Rev Financ Anal Article This study investigates the U.S. stock market efficiency from the symmetric and asymmetric perspectives during the COVID-19 pandemic. We explore that the pandemic boosts (hurts) the information role of symmetrically (asymmetrically) informed trading. Specifically, we find that the epidemic outbreak and infection scale strengthen (weaken) the stock return reaction to symmetrically (asymmetrically) informed trading. Evidence also indicates that the effect of symmetrically (asymmetrically) informed trading on stocks' permanent price shocks and price informational efficiency is enhanced (impaired) during the pandemic. Moreover, all these effects are consistently more intensive to informed buys. Elsevier Inc. 2023-05 2023-03-02 /pmc/articles/PMC9979694/ /pubmed/36910026 http://dx.doi.org/10.1016/j.irfa.2023.102608 Text en © 2023 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Xu, Liao
Xue, Mingqi
Zhang, Xuan
Zhao, Yang
Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic
title Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic
title_full Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic
title_fullStr Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic
title_full_unstemmed Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic
title_short Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic
title_sort heterogeneously informed trading and the stock market efficiency during the covid-19 pandemic
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9979694/
https://www.ncbi.nlm.nih.gov/pubmed/36910026
http://dx.doi.org/10.1016/j.irfa.2023.102608
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