1. Correlated Trading and Location.
- Author
-
LEI FENG and SEASHOLES, MARK S.
- Subjects
SECURITIES trading ,LOCATION analysis ,STOCK exchanges ,INVESTORS ,ACCESS to information ,CORPORATE headquarters ,STATISTICAL correlation ,RATIONAL expectations (Economic theory) ,ECONOMIC forecasting - Abstract
This paper analyzes the trading behavior of stock market investors. Purchases and sales are highly correlated when we divide investors geographically. Investors who live near a firm's headquarters react in a similar manner to releases of public information. We are able to make this identification by exploiting a unique feature of individual brokerage accounts in the People's Republic of China. The data allow us to pinpoint an investor's location at the time he or she places a trade. Our results are consistent with a simple, rational expectations model of heterogeneously informed investors. [ABSTRACT FROM AUTHOR]
- Published
- 2004
- Full Text
- View/download PDF