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dc.contributor.authorLi, Mingyi
dc.contributor.authorYin, Xiangkang
dc.contributor.authorZhao, Jing
dc.date.accessioned2021-05-18T00:37:47Z
dc.date.available2021-05-18T00:37:47Z
dc.date.issued2020
dc.identifier.issn0927-5398en_US
dc.identifier.doi10.1016/j.jempfin.2020.11.001en_US
dc.identifier.urihttp://hdl.handle.net/10072/404447
dc.description.abstractDaily returns of stocks with high program trading comove more with each other but less with others. This significant comovement is disconnected with market movements and news of fundamentals and becomes stronger when market uncertainty is higher. It can be explained by neither the hypotheses of gradual information diffusion and liquidity provision nor the effects of quantitative trading signals, earnings announcements and index fund trading. Its non-fundamental nature is further demonstrated by the observation of program trading stimulating return reversals. Underlying this comovement is the high persistence of program trading. Our findings support the theory of habitat investing and demonstrate program trading creates a distinct source of excess return comovement.en_US
dc.description.peerreviewedYesen_US
dc.languageEnglishen_US
dc.publisherElsevieren_US
dc.relation.ispartofpagefrom257en_US
dc.relation.ispartofpageto277en_US
dc.relation.ispartofjournalJournal of Empirical Financeen_US
dc.relation.ispartofvolume59en_US
dc.subject.fieldofresearchApplied Economicsen_US
dc.subject.fieldofresearchEconometricsen_US
dc.subject.fieldofresearchBanking, Finance and Investmenten_US
dc.subject.fieldofresearchcode1402en_US
dc.subject.fieldofresearchcode1403en_US
dc.subject.fieldofresearchcode1502en_US
dc.subject.keywordsSocial Sciencesen_US
dc.subject.keywordsBusiness, Financeen_US
dc.subject.keywordsBusiness & Economicsen_US
dc.subject.keywordsProgram tradingen_US
dc.titleDoes program trading contribute to excess comovement of stock returns?en_US
dc.typeJournal articleen_US
dc.type.descriptionC1 - Articlesen_US
dcterms.bibliographicCitationLi, M; Yin, X; Zhao, J, Does program trading contribute to excess comovement of stock returns?, Journal of Empirical Finance, 2020, 59, pp. 257-277en_US
dc.date.updated2021-05-17T22:40:08Z
gro.hasfulltextNo Full Text
gro.griffith.authorLi, Mingyi


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