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Are individuals informed in global markets?

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  • Tao Chen

    (University of Macau)

Abstract

In the global context, we document evidence consistent with the informativeness of individual trades. Specifically, individuals are able to convey private information through their trading and improve intraday informational efficiency. Such an inference remains robust after mitigating the endogeneity concern. Additional examinations suggest that individual investors are conducive to promote efficient pricing of informed extreme price movements, online search information, and large-trade information. Taken together, these findings lend some credibility to the view that individuals are informed.

Suggested Citation

  • Tao Chen, 2022. "Are individuals informed in global markets?," Empirical Economics, Springer, vol. 63(1), pages 243-263, July.
    • Handle: RePEc:spr:empeco:v:63:y:2022:i:1:d:10.1007_s00181-021-02141-0
    DOI: 10.1007/s00181-021-02141-0
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    More about this item

    Keywords

    Individuals; Private information; Informational efficiency;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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