Correlated trading and location

Lei Feng; Mark S. Seasholes

doi:10.1111/j.1540-6261.2004.00694.x

Correlated trading and location

Lei Feng, Mark S. Seasholes

Research output: Contribution to journal › Article › peer-review

154 Scopus citations

Abstract

This paper analyzes the trading behavior of stock market investors. Purchases and sales are highly correlated when we divide investors geographically. Investors who live near a firm's headquarters react in a similar manner to releases of public information. We are able to make this identification by exploiting a unique feature of individual brokerage accounts in the People's Republic of China. The data allow us to pinpoint an investor's location at the time he or she places a trade. Our results are consistent with a simple, rational expectations model of heterogeneously informed investors.

Original language	English (US)
Pages (from-to)	2117-2144
Number of pages	28
Journal	Journal of Finance
Volume	59
Issue number	5
DOIs	https://doi.org/10.1111/j.1540-6261.2004.00694.x
State	Published - Oct 2004
Externally published	Yes

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

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10.1111/j.1540-6261.2004.00694.x

Cite this

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Correlated trading and location

Abstract

ASJC Scopus subject areas

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