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The “two sessions”: institutional investors selloff to avoid ambiguity

Author

Listed:
  • Jiarui Wang

    (Beihang University)

  • Haijun Yang

    (Beihang University
    Key Laboratory of Complex System Analysis, Management and Decision (Beihang University), Ministry of Education)

  • Shancun Liu

    (Beihang University)

Abstract

We construct a model to examine the time-varying ambiguity of investors. When ambiguity occurs concerning recent news, long (short) position investors who are averse to ambiguity reduce (increase) their holdings, resulting in price drops (rises). We empirically analyze how the “two sessions,” a significant event with high policy ambiguity in China, affect the financial market. Our findings suggest that institutional investors mainly sell their holdings between 15 and 5 days before the meetings. Furthermore, the delay in the “two sessions” in 2020 suggests that these selloffs are driven by ambiguity aversion rather than new information.

Suggested Citation

  • Jiarui Wang & Haijun Yang & Shancun Liu, 2025. "The “two sessions”: institutional investors selloff to avoid ambiguity," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-25, December.
    • Handle: RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00711-6
    DOI: 10.1186/s40854-024-00711-6
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