Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic

Liao Xu, Mingqi Xue, Xuan Zhang and Yang Zhao

International Review of Financial Analysis, 2023, vol. 87, issue C

Abstract: This study investigates the U.S. stock market efficiency from the symmetric and asymmetric perspectives during the COVID-19 pandemic. We explore that the pandemic boosts (hurts) the information role of symmetrically (asymmetrically) informed trading. Specifically, we find that the epidemic outbreak and infection scale strengthen (weaken) the stock return reaction to symmetrically (asymmetrically) informed trading. Evidence also indicates that the effect of symmetrically (asymmetrically) informed trading on stocks' permanent price shocks and price informational efficiency is enhanced (impaired) during the pandemic. Moreover, all these effects are consistently more intensive to informed buys.

Keywords: Asymmetric information; COVID-19; Informed trading; Market efficiency; Symmetric information (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001242

DOI: 10.1016/j.irfa.2023.102608

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