Peer effect of fund trading and the risk of individual stock

Chuanglian Chen, Lin Yuting, Su Bowei and Yao Shujie

Journal of Asian Economics, 2025, vol. 97, issue C

Abstract: This paper studies the influencing mechanisms between peer effect of fund trading behavior and the left-tail risk of individual stocks. The estimated results show that the increasing peer effect of fund trading behavior in China will significantly increase the overall scale of left tail risk, and the public offering of funds have not played the role of guiding value investment and stabilizing the market expected by regulatory authorities. Signaling and liquidity mechanism can explain this phenomenon. Furthermore, the positive impact of peer effect of fund trading behavior on the left-tail risk is more pronounced among listed companies with high analyst attention, non-state-owned nature, and high short selling activity.

Keywords: Short selling transactions; Peer Effect of Fund Trading Behavior; Left Tail Risk (search for similar items in EconPapers)
JEL-codes: G11 G14 G32 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:97:y:2025:i:c:s1049007824001623

DOI: 10.1016/j.asieco.2024.101867

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