Ticker symbol and comovement: Evidence from a unique dataset in China
نویسندگان
چکیده
Using a unique sample of matching stocks in China, this paper investigates the comovement between different stocks and its driving factors. Major findings include: (1) There exists a high positive correlation between returns on two matching stocks with similar ticker symbols; (2) By analyzing changes in correlation that took place after stocks changed their ticker symbols, we find that changes in ticker symbols have significant effects on the comovement between two stocks; (3) Individual investors are more possible to be confused about two matching stocks than institutional investors; Besides, when investor sentiment is high, the comovement between matching stocks is higher, indicating that investor sentiment amplifies comovement between matching stocks; In addition, if the price change of one of two matching stocks reflects “bad information” (“good information”), the daily return on this stock will have a higher (lower) explanatory power for the daily return on the other stock, indicating that investors may react more to “bad information” than to “good information” because of loss aversion.
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