Chuanglian Chen , Lin Yuting , Su Bowei , Yao Shujie
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Abstract
This paper studies the influencing mechanisms between peer effect of fund trading behavior and the left-tail risk of individual stocks. The estimated results show that the increasing peer effect of fund trading behavior in China will significantly increase the overall scale of left tail risk, and the public offering of funds have not played the role of guiding value investment and stabilizing the market expected by regulatory authorities. Signaling and liquidity mechanism can explain this phenomenon. Furthermore, the positive impact of peer effect of fund trading behavior on the left-tail risk is more pronounced among listed companies with high analyst attention, non-state-owned nature, and high short selling activity.
期刊介绍：
The Journal of Asian Economics provides a forum for publication of increasingly growing research in Asian economic studies and a unique forum for continental Asian economic studies with focus on (i) special studies in adaptive innovation paradigms in Asian economic regimes, (ii) studies relative to unique dimensions of Asian economic development paradigm, as they are investigated by researchers, (iii) comparative studies of development paradigms in other developing continents, Latin America and Africa, (iv) the emerging new pattern of comparative advantages between Asian countries and the United States and North America.
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