liquidity

Macro Announcements and Heterogeneous Investor Trading in the Chinese Stock Market

Using a proprietary granular database of a major Chinese stock exchange, we examine heterogenous investors’ trading dynamics around one of the most important macro announcements of the Chinese central bank, the monthly release of monetary aggregates …

When Price Discovery and Market Quality Are Most Needed: The Role of Retail Investors During Pandemic

Using the Boehmer, Jones, Zhang, and Zhang (2021) algorithm, we identify a broad swath of marketable retail investor orders in the U.S. market during the pandemic. The marketable retail trading volumes rapidly rise from $325 billion in 2019 to $852 …

Macro Announcements and Heterogeneous Investor Trading in the Chinese Stock Market

Using a proprietary granular database of a major Chinese stock exchange, we examine heterogenous investors’ trading dynamics around one of the most important macro announcements of the Chinese central bank, the monthly release of monetary aggregates …

Macro Announcements and Heterogeneous Investor Trading in the Chinese Stock Market

Using a proprietary granular database of a major Chinese stock exchange, we examine heterogenous investors’ trading dynamics around one of the most important macro announcements of the Chinese central bank, the monthly release of monetary aggregates …