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Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic
Liao Xu1, Mingqi Xue2, Xuan Zhang3
1School of Economics, Zhejiang Gongshang University, Hangzhou, China.
Abstract:
This study investigates the U.S. stock market efficiency from the symmetric and asymmetric perspectives during the COVID-19 pandemic. We explore that the pandemic boosts (hurts) the information role of symmetrically (asymmetrically) informed trading. Specifically, we find that the epidemic outbreak and infection scale strengthen (weaken) the stock return reaction to symmetrically (asymmetrically) informed trading. Evidence also indicates that the effect of symmetrically (asymmetrically) informed trading on stocks' permanent price shocks and price informational efficiency is enhanced (impaired) during the pandemic. Moreover, all these effects are consistently more intensive to informed buys.
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