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.
| Original language | English |
|---|---|
| Pages (from-to) | 243-263 |
| Number of pages | 21 |
| Journal | Empirical Economics |
| Volume | 63 |
| Issue number | 1 |
| Early online date | 5 Oct 2021 |
| DOIs | |
| Publication status | Published - Jul 2022 |
| Externally published | Yes |
Bibliographical note
Publisher Copyright:© 2021, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.
Funding
Funding was provided by University of Macau (Grant No. MYRG2020-00042-FBA).
Keywords
- Individuals
- Informational efficiency
- Private information
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