Wealthy individual investors and stock markets' tail risk

被引：0
|
作者：
Yu, He [1 ,2 ]
Lu, Rong [2 ]
Yang, Hu [3 ]
Zhang, Bin [2 ]
机构：
[1] Zhejiang Univ Finance & Econ, Sch Finance, Hangzhou, Peoples R China
[2] Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China
[3] Cent Univ Finance & Econ, Sch Informat, Beijing, Peoples R China
来源：
PLOS ONE | 2024年 / 19卷 / 05期
基金：
中国博士后科学基金; 中国国家自然科学基金;
关键词：
INVESTMENT; NETWORKS; BEHAVIOR; RETURNS;
D O I：
10.1371/journal.pone.0282173
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This paper employs a unique data set to analyze the trading behavior of wealthy individual investors across Mainland China and their impact on Chinese stock markets' tail risk. Results show that the wealthy individual investors' trading behavior can explain Chinese stock markets' tail risk, and the daily investment portfolios based on the network density of wealthy individual investors have significant excess returns. This paper also investigates the determinants of wealthy individual investors' trading behavior with the social network method and the spatial econometric model, and reveals that wealthy individuals benefit from the spillover effect of their trading behavior through the investor networks. The results of this paper not only reveal micro evidence for the formation mechanism of asset prices, but also provide insight into the behavior of wealthy individual investors.
引用
收藏
页数：25
相关论文
共 50 条
  • [1] The tail risk of emerging stock markets
    Li, Xiao-Ming
    Rose, Lawrence C.
    [J]. EMERGING MARKETS REVIEW, 2009, 10 (04) : 242 - 256
  • [2] CHARACTERISTICS OF INVESTORS' RISK PREFERENCE FOR STOCK MARKETS
    Wen, Fenghua
    He, Zhifang
    Dai, Zhifeng
    Yang, Xiaoguang
    [J]. ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2014, 48 (03): : 235 - 254
  • [3] Stock market expectations and risk aversion of individual investors
    Lee, Boram
    Rosenthal, Leonard
    Veld, Chris
    Veld-Merkoulova, Yulia
    [J]. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2015, 40 : 122 - 131
  • [4] Ranking tail risk across international stock markets
    Groslambert, Bertrand
    Lai, Wan-Ni
    [J]. ECONOMICS BULLETIN, 2020, 40 (02):
  • [5] Financial advice and gender: Wealthy individual investors in the UK
    Baeckstrom, Ylva
    Marsh, Ian W.
    Silvester, Joanne
    [J]. JOURNAL OF CORPORATE FINANCE, 2021, 71
  • [6] Can we predict individual investors' behavior in stock markets? A psychological approach
    Pascual-Ezama, David
    Scandroglio, Barbara
    Gil-Gomez de Liano, Beatriz
    [J]. UNIVERSITAS PSYCHOLOGICA, 2014, 13 (01) : 25 - 35
  • [7] Individual investors and stock returns
    Aboura S.
    [J]. Journal of Asset Management, 2016, 17 (7) : 477 - 485
  • [8] RISK-ON RISK-OFF: Implications for investors in the Australian stock and bond markets
    Haque, Tariq
    [J]. JASSA-THE FINSIA JOURNAL OF APPLIED FINANCE, 2013, (04): : 47 - 52
  • [9] Investors' preference towards risk: evidence from the Taiwan stock and stock index futures markets
    Qiao, Zhuo
    Clark, Ephraim
    Wong, Wing-Keung
    [J]. ACCOUNTING AND FINANCE, 2014, 54 (01): : 251 - 274
  • [10] Idiosyncratic tail risk and expected stock returns: Evidence from the Chinese stock markets
    Long, Huaigang
    Jiang, Yuexiang
    Zhu, Yanjian
    [J]. FINANCE RESEARCH LETTERS, 2018, 24 : 129 - 136
12345