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September 2, 2004The Journal of Finance

Correlated Trading and Location

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Authors

LFLei FengMSMark S. Seasholes

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Overview

Analysis of geographic influence on investor trading behavior in stock markets, indicating collective reactions to public information.

Key Points

  • To analyze how geographic proximity influences stock market investors' trading behavior in response to public information.
  • Analyzed trading data from individual brokerage accounts in the People's Republic of China.
  • Identified investor locations at the time of trades to assess geographic correlation.
  • Compared reactions of investors living near firms' headquarters to public information releases.
  • Purchases and sales among geographically proximate investors are highly correlated.
  • Investors near a firm's headquarters respond similarly to public information.
  • Findings support a rational expectations model explaining varied investor information.

Cite This Study

Feng et al. (2004) studied this question.

synapsesocial.com/papers/69db1bfa0d8d6ef495a3cd18https://doi.org/10.1111/j.1540-6261.2004.00694.x
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Also Consider

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  1. 1The Trading Crowd: An Ethnography of the Shanghai Stock Market1999 · 146 citations
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