Can Retail Investors Drive Up Stock Prices?

12 Pages Posted: 17 Oct 2013 Last revised: 23 Dec 2013

Vichet Sum

University of Maryland Eastern Shore - School of Business and Technology

Date Written: October 15, 2013

Abstract

This study finds that return on the NYSE largest-cap portfolio significantly increases following the shock to the percentage change in NYSE odd lot purchase volume. Based on the analysis of monthly data from 1970M2 to 2012M12, the results reveal a causal linkage between return on the NYSE largest-cap portfolio and the percentage change in NYSE odd lot purchase volume. The findings suggest that purchase trades placed by retail investors, on average, help drive up future prices of large-cap stocks.

Keywords: odd lot purchase, retail investor, trading activity, stock market return

JEL Classification: G12, G14

Suggested Citation

Sum, Vichet, Can Retail Investors Drive Up Stock Prices? (October 15, 2013). Available at SSRN: https://ssrn.com/abstract=2340801 or http://dx.doi.org/10.2139/ssrn.2340801

Vichet Sum (Contact Author)

University of Maryland Eastern Shore - School of Business and Technology ( email )

2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)

HOME PAGE: http://www.umes.edu/bma/Sum.html

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