Publication Type
Working Paper
Version
publishedVersion
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
Citation
CHORDIA, Tarun; GOYAL, Amit; and TONG, Qing.
Pairwise correlations. (2011). 1-32.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/5172
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.2139/ssrn.1785390