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| Information Demand, Individual Investors’ Trading and Price Comovement: Evidence from Stock Splits Events |
| LIU Shasha, KONG Gaowen
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| Management School, Jinan University; School of Economics and Statistics, Guangzhou University |
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Abstract Using a unique dataset in China, we investigate who drives stock price-based comovement and how information acquisition alleviates investors’ behavioral bias. We find that: price-based comovement is significantly driven by individuals’ trading behaviors. Moreover, investors’ information acquisition effectively alleviates individuals’ behavioral bias. Our results are robust to different specifications and alternative measures. We provide clear evidence for regulators about the issue of minority shareholder protections.
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Published: 10 January 2018
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