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...

Full description

Saved in:
Bibliographic Details
Main Authors: CHORDIA, Tarun, GOYAL, Amit, TONG, Qing
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5172
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6171/viewcontent/SSRN_id1785390.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.lkcsb_research-6171
record_format dspace
spelling 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
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Asymmetric Correlations
Downside correlations
Retail Investors
Finance and Financial Management
spellingShingle 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