Private information advantage or overconfidence? Performance of intraday arbitrage speculators in the Chinese stock market

Zhang, Xiaotao; Liang, Junpeng; He, Feng

doi:10.1016/j.pacfin.2019.101215

Cited by 15 publications

(10 citation statements)

References 25 publications

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“…However, they also note that such a relationship disappears in unilaterally price-falling markets. Additionally, the above study investigates the effects of gender and personality on the relationship between trading volume and stock returns, which are confirmed by many studies using the real stock market data, e.g., Richards and Willows (2018) and Zhang et al (2019). Thus, the study of Zhang et al (2014) provides solid support to the method of simulation from the real stock markets.…”

Section: Literature Reviewsupporting

confidence: 56%

Theoretical and experimental evidence on stock market volatilities: a two-phase flow model

Wang

Salem

2021

Economic Research-Ekonomska Istraživanja

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The volume-volatility relationship usually ignores possible effects of stock shares. This article proposes a two-phase flow model assuming that capital and stock flows determine stock price and return volatility. Computational simulations suggest that monodirectional capital or stock flows and collective flows exert different effects on stock return volatilities. Considering the impact of stock flows, the positive relationship between capital and return volatility is no longer guaranteed. The inflow of capital and the outflow of stock increase stock price similarly; but exhibit completely different effects on stock return volatilities. A persistent stock inflow (outflow) reduces (intensifies) return volatilities, whereas a monodirectional persistent capital outflow has no such effect. When capital and stock flows' velocities satisfy critical values determined by the initial state of the market, the market enlargement accompanied with increasing stock and capital shows no impact on market stability because of stable return volatilities. Otherwise, stock flows drive return volatilities with stronger effects than capital flows. Further experimental studies that simulate the real stock market through a trading system provide strong evidence supporting the two-phase flow model. Given similar driving forces of capital and stock flows, the interaction of them should be considered in constructing investment strategies and setting policies.

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Section: Literature Reviewsupporting

confidence: 56%

Theoretical and experimental evidence on stock market volatilities: a two-phase flow model

Wang

Salem

2021

Economic Research-Ekonomska Istraživanja

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“…Aktas et al (2019) found that the presence of overconfident CEOs in companies with financial constraints increases the value of their cash. Zhang et al (2019) found a direct relationship between investors' overconfidence and their investment returns.…”

Section: The Relationship Between Management Overconfidence and Corporate Risk-takingmentioning

confidence: 92%

The relationship between managers' narcissism and overconfidence on corporate risk-taking

Salehi

Naeini

Rouhi

2020

TQM

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PurposeThe primary purpose is to investigate the relationship between narcissism and managers' overconfidence in listed companies' risk-taking.Design/methodology/approachIn this study, two criteria of signature and reward are used to measure manager's narcissism; manager's overconfidence, using multiple regression models and finally to measure companies' risk-taking by using companies' monthly returns. Multiple regression is employed to test the model using a sample of 890 firm-year participation on the Tehran Stock Exchange from 2012 to 2017 with panel data and model with fixed effects.FindingsThe findings indicate that the CEO's narcissism and the board of directors positively and significantly affect corporate risk-taking. Also, managers' overconfidence has a positive and significant relationship with corporate risk-taking.Originality/valueThe results of this study identified other factors affecting companies' risk-taking. This study also contributed to the development of the literature on narcissism, overconfidence and corporate risk-taking.

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mentioning

confidence: 94%

“…In the theoretical models proposed by Odean (1998) and Gervais and Odean (2001), overconfident investors, who overestimate the precision of their knowledge or private information and attribute past positive outcomes to their own abilities, tend to trade more frequently. Following such models, investor overconfidence has been verified in the psychological laboratory (Benoît et al 2015) and helps explain the active trading behavior of individual investors in empirical studies Odean 2000a, 2002;Zhang et al 2019).The theory that overconfidence leads to excessive trading explains investors' active trading behavior from the perspective of their own psychological bias. However, there is also evidence that social interaction is also related to active trading behavior, and overconfidence seems unable to explain such evidence.…”

mentioning

confidence: 96%

Does communication increase investors’ trading frequency? Evidence from a Chinese social trading platform

Jin

2022

Financ Innov

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This study examines the impact of communication on investors’ trading frequency based on a unique dataset drawn from a Chinese social trading platform. We find robust evidence that real-account portfolio owners on the platform trade more frequently under the influence of the comments posted by their leaders (the owners of portfolios they have followed). Moreover, portfolio owners are more sensitive to the quantity than to the tone of leaders’ comments. Finally, both trading frequency and leaders’ comments negatively impact portfolio owners’ future performance. Our findings support the notion that social interaction promotes active investment strategies.

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Private information advantage or overconfidence? Performance of intraday arbitrage speculators in the Chinese stock market

Cited by 15 publications

References 25 publications

Theoretical and experimental evidence on stock market volatilities: a two-phase flow model

Theoretical and experimental evidence on stock market volatilities: a two-phase flow model

The relationship between managers' narcissism and overconfidence on corporate risk-taking

Does communication increase investors’ trading frequency? Evidence from a Chinese social trading platform

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