Chen, Lin; Wang, Junbo; Wu, Chunchi; Zhu, Hongquan - In: Advances in Pacific Basin business, economics and finance, (pp. 1-21). 2020
Although stock price co-movement has been examined extensively, its causes are not well understood. Using a decomposition method, we extract three information components from the turnover rate: market information, firm-specific information, and investors' opinion divergence. We find that market...