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Peer effect of fund trading and the risk of individual stock

Author

Listed:
  • Chen, Chuanglian
  • Yuting, Lin
  • Bowei, Su
  • Shujie, Yao

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.

Suggested Citation

  • Chen, Chuanglian & Yuting, Lin & Bowei, Su & Shujie, Yao, 2025. "Peer effect of fund trading and the risk of individual stock," Journal of Asian Economics, Elsevier, vol. 97(C).
    • Handle: RePEc:eee:asieco:v:97:y:2025:i:c:s1049007824001623
    DOI: 10.1016/j.asieco.2024.101867
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    More about this item

    Keywords

    Short selling transactions; Peer Effect of Fund Trading Behavior; Left Tail Risk;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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