Does program trading contribute to excess comovement of stock returns?

被引：3
|
作者：
Li, Mingyi [1 ]
Yin, Xiangkang [2 ]
Zhao, Jing [3 ]
机构：
[1] Griffith Univ, Dept Accounting Finance & Econ, Southport, Qld, Australia
[2] Deakin Univ, Dept Finance, Geelong, Vic, Australia
[3] La Trobe Univ, Dept Econ Finance & Mkt, Bundoora, Vic 3086, Australia
来源：
JOURNAL OF EMPIRICAL FINANCE | 2020年 / 59卷
基金：
澳大利亚研究理事会;
关键词：
Program trading; Habitat investing; Excess return comovement; Return reversal; FIRM-SPECIFIC INFORMATION; PRICES; MARKET; COMMONALITY; VOLATILITY; ANALYSTS; MODELS; FLOWS;
D O I：
10.1016/j.jempfin.2020.11.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Daily returns of stocks with high program trading comove more with each other but less with others. This significant comovement is disconnected with market movements and news of fundamentals and becomes stronger when market uncertainty is higher. It can be explained by neither the hypotheses of gradual information diffusion and liquidity provision nor the effects of quantitative trading signals, earnings announcements and index fund trading. Its non fundamental nature is further demonstrated by the observation of program trading stimulating return reversals. Underlying this comovement is the high persistence of program trading. Our findings support the theory of habitat investing and demonstrate program trading creates a distinct source of excess return comovement.
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页码：257 / 277
页数：21
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