Information transmission between large shareholders and stock volatility

Jie Li, Yongjie Zhang and Lidan Wang

The North American Journal of Economics and Finance, 2021, vol. 58, issue C

Abstract: Does information transmission between large shareholders exacerbate stock volatility or reduce stock volatility? In this study, based on the common shareholding data in the Chinese stock market from 2007 to 2017, we establish the shareholder’s coshareholding network, and use the weighted network clustering coefficient to measure the information transmission speed. Moreover, we investigate the impact of information transmission speed on stock volatility. The empirical results show that a nonlinear U-shaped relationship exists between information transmission speed and stock volatility. The findings are robust to the inclusion of other determinants of stock volatility identified in the literature. Finally, we verify the existence of private information interaction in the coshareholding network.

Keywords: Shareholder behavior; Information transmission; Stock volatility; Coshareholding network; Clustering coefficient (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001613

DOI: 10.1016/j.najef.2021.101551

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