Pairwise correlations
Pairwise stock correlations increase by 27% on average when stock returns are negative. It is trading activity in small stocks that leads to higher correlations when returns are negative. We provide evidence consistent with the hypothesis that co-ordinated selling by retail investors drives this asy...
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Institutional Knowledge at Singapore Management University
2011
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sg-smu-ink.lkcsb_research-61712017-08-16T06:23:23Z Pairwise correlations CHORDIA, Tarun GOYAL, Amit TONG, Qing Pairwise stock correlations increase by 27% on average when stock returns are negative. It is trading activity in small stocks that leads to higher correlations when returns are negative. We provide evidence consistent with the hypothesis that co-ordinated selling by retail investors drives this asymmetry in correlations. The co-ordinated selling activity by retail investors is triggered by negative market returns. 2011-03-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/lkcsb_research/5172 info:doi/10.2139/ssrn.1785390 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6171/viewcontent/SSRN_id1785390.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Asymmetric Correlations Downside correlations Retail Investors Finance and Financial Management |
| institution |
Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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SMU Libraries |
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InK@SMU |
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English |
| topic |
Asymmetric Correlations Downside correlations Retail Investors Finance and Financial Management |
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Asymmetric Correlations Downside correlations Retail Investors Finance and Financial Management CHORDIA, Tarun GOYAL, Amit TONG, Qing Pairwise correlations |
| description |
Pairwise stock correlations increase by 27% on average when stock returns are negative. It is trading activity in small stocks that leads to higher correlations when returns are negative. We provide evidence consistent with the hypothesis that co-ordinated selling by retail investors drives this asymmetry in correlations. The co-ordinated selling activity by retail investors is triggered by negative market returns. |
| format |
text |
| author |
CHORDIA, Tarun GOYAL, Amit TONG, Qing |
| author_facet |
CHORDIA, Tarun GOYAL, Amit TONG, Qing |
| author_sort |
CHORDIA, Tarun |
| title |
Pairwise correlations |
| title_short |
Pairwise correlations |
| title_full |
Pairwise correlations |
| title_fullStr |
Pairwise correlations |
| title_full_unstemmed |
Pairwise correlations |
| title_sort |
pairwise correlations |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2011 |
| url |
https://ink.library.smu.edu.sg/lkcsb_research/5172 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6171/viewcontent/SSRN_id1785390.pdf |
| _version_ |
1770573597728833536 |