Ozsoylev, Han, Walden, Johan, Yavuz, Deniz and Bildick, Recep (2014) Investor Networks in the Stock Market. The Review of Financial Studies, 27 (5). pp. 1323-1366.
We study the trading behavior of investors in an entire stock market. Using an account level dataset of all trades on the Istanbul Stock Exchange in 2005, we identify investors with similar trading behavior as linked in an empirical investor network (EIN). Consistent with the theory of information networks, we ﬁnd that central investors earn higher returns and trade earlier than peripheral investors with respect to information events. Overall, our results support the view that information diffusion among the investor population inﬂuences trading behavior and returns. (JEL G11, G14)
|Keywords:||investment; stock market|
|Centre:||Faculty of Finance|
|Date Deposited:||10 Oct 2013 15:29|
|Last Modified:||23 Oct 2015 14:08|
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