Journal of Northeastern University(Natural Science) ›› 2021, Vol. 42 ›› Issue (5): 748-754.DOI: 10.12068/j.issn.1005-3026.2021.05.021

• Management Science • Previous Articles     Next Articles

Emotional Contagion, Stock Volatility and Stock Price Synchronization: Empirical Evidence from the Fund′s Heavy Warehouse Stocks

HOU Hui1, NARINMandura2, LIU Jian3, WANG Jian1   

  1. 1. School of Business Administration, Northeastern University, Shenyang 110819, China; 2. The People’s Bank of China Hulun Buir Downtown Branch, Hulun Buir 021008, China; 3. Tieling Branch of China Construction Bank, Tieling 112000, China.
  • Revised:2020-06-19 Accepted:2020-06-19 Published:2021-05-20
  • Contact: NARIN Mandura
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Abstract: Based on the principal-agent investment relationship behind fund’s heavy warehouse stocks, which uses emotional contagion indexes established on the open-ended fund flow data, the effect of emotional contagion on stock volatility and stock price synchronization is investigated at the stock level and market level in fund investment. Research finds that emotional contagion has a significant promoting effect on the volatility of heavy warehouse stocks regardless of optimism contagion or pessimism contagion. Further study shows that it has a remarkable reinforcing effect on stock synchronization. The findings explain market anomalies from a new perspective of emotional contagion among different entities in fund investment, which serves as a supplement to the behavior asset pricing theory studies. The conclusions can provide reference for investors, fund companies and market regulators.

Key words: emotional contagion; stock volatility; stock price synchronization; heavy warehouse stocks; behavior asset pricing theory

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