Pairwise correlations

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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Bibliographic Details
Main Authors: CHORDIA, Tarun, GOYAL, Amit, TONG, Qing
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Asymmetric Correlations
Downside correlations
Retail Investors
Finance and Financial Management
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
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/5172
https://ink.library.smu.edu.sg/context/lkcsb_research/article/6171/viewcontent/SSRN_id1785390.pdf

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