Li, Rui; Wang, Jin; Song, Lujie; Chen, Chunchun - 2023
This paper examine the impact of noise trading on stock liquidity in China. We construct a theoretical model including … noise traders, rational traders, and insiders, and test the model using transaction data on individual stocks in the CSI-300 … (China-Shanghai-Shenzhen-300-Stock Index) in 2020. We find that noise trading has a negative effect on stock liquidity. As …