Speculation Spillovers

• 成果类型: Article
• 署名作者: Liu, Yu-Jane; Zhang, Zheng; Zhao, Longkai
• 署名单位: Peking University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.1914
• 发表日期: 2015
• 页码: 649-664
• 关键词: Speculation; Contagious; behavioral bias

摘要

This paper demonstrates that speculative activities can be contagious and spill over across markets. Specifically, we test the hypothesis that during China's warrants bubble period, speculative activities in the warrants market grabbed investors' attention and caused them to trade more speculatively in the underlying stocks. Consistent with this hypothesis, we find that turnover and return volatility of the underlying stocks are positively associated with the warrants' unexpected turnover and price deviation from their fundamental values during the previous day, controlling for information-driven trading and hedging motives, and that such a spillover effect is more pronounced when warrants attract more investor attention.