Publication Type

Working Paper

Publication Date

3-2011

Abstract

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.

Keywords

Asymmetric Correlations, Downside correlations, Retail Investors

Discipline

Finance and Financial Management

Research Areas

Finance

First Page

1

Last Page

32

Identifier

10.2139/ssrn.1785390

Publisher

SSRN

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/10.2139/ssrn.1785390

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