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Are individuals informed in global markets?

Tao Chen ()

Empirical Economics, 2022, vol. 63, issue 1, No 8, 243-263

Abstract: Abstract In the global context, we document evidence consistent with the informativeness of individual trades. Specifically, individuals are able to convey private information through their trading and improve intraday informational efficiency. Such an inference remains robust after mitigating the endogeneity concern. Additional examinations suggest that individual investors are conducive to promote efficient pricing of informed extreme price movements, online search information, and large-trade information. Taken together, these findings lend some credibility to the view that individuals are informed.

Keywords: Individuals; Private information; Informational efficiency (search for similar items in EconPapers)
JEL-codes: G12 G14 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s00181-021-02141-0

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