Publication Type
Working Paper
Version
publishedVersion
Publication Date
6-2024
Abstract
In this paper, we use ChatGPT outages to investigate whether investors rely on generative artificial intelligence (GAI) to perform trading-related tasks and the associated impact on stock price informativeness. We first document a significant decline in stock trading volume during ChatGPT outages and find that the effect is stronger for firms with corporate news released immediately before or during the outages. We further document similar declines in the short-run price impact, return variance, and bid-ask spreads, consistent with a reduction in informed trading during the outage periods. Lastly, we use trading volume changes during outages to construct a firm-level measure of the intensity of GAI-assisted trading and provide early evidence of a positive effect of GAI-assisted trading on long-run stock price informativeness. Overall, our findings contribute to the debate on the potential effects of AI trading models on financial market stability.
Keywords
Generative AI, ChatGPT, Informed Trading, Price Informativeness
Discipline
Accounting | Artificial Intelligence and Robotics | Finance
Research Areas
Corporate Communication
Areas of Excellence
Digital transformation
First Page
1
Last Page
51
Identifier
10.2139/ssrn.4872189
Publisher
SSRN
Citation
CHENG, Qiang; LIN, Pengkai; and ZHAO, Yue.
Does generative AI facilitate investor trading? Evidence from ChatGPT outages. (2024). 1-51.
Available at: https://ink.library.smu.edu.sg/soa_research/2066
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.4872189
