新冠疫情期间的异质信息交易与股票市场效率
Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic.
作者信息
Xu Liao, Xue Mingqi, Zhang Xuan, Zhao Yang
机构信息
School of Economics, Zhejiang Gongshang University, Hangzhou, China.
Institute of Financial Data Technology, Melbourne, Australia.
出版信息
Int Rev Financ Anal. 2023 May;87:102608. doi: 10.1016/j.irfa.2023.102608. Epub 2023 Mar 2.
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.
本研究从对称和非对称视角考察了新冠疫情期间美国股票市场的效率。我们探究了疫情对对称（非对称）信息交易的信息作用起到了促进（损害）作用。具体而言，我们发现疫情爆发和感染规模增强（削弱）了股票回报对对称（非对称）信息交易的反应。证据还表明，在疫情期间，对称（非对称）信息交易对股票永久价格冲击和价格信息效率的影响增强（受损）。此外，所有这些影响对知情买入的影响始终更为强烈。
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