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Are individuals informed in global markets?

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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.

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Notes

  1. The term “individual” and “retail” are often interchangeable in this study.

  2. It refers to the benchmark index top on the equity market screen in the Bloomberg terminal.

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Funding

Funding was provided by University of Macau (Grant No. MYRG2020-00042-FBA).

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  1. University of Macau, Taipa, Macau

    Tao Chen

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  1. Tao Chen
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Correspondence to Tao Chen.

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Chen, T. Are individuals informed in global markets?. Empir Econ 63, 243–263 (2022). https://doi.org/10.1007/s00181-021-02141-0

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  • DOI: https://doi.org/10.1007/s00181-021-02141-0

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