LI, Jennifer (Jie); Pearson, Neil D.; Zhang, Qi - 2021
The inelastic markets hypothesis states that the aggregate stock market price elasticity of demand is small, implying … that flows have large impacts on prices. We exploit demand shocks created as investor funds are frozen and unfrozen during … Chinese IPOs to estimate the impact of demand shocks on the Chinese stock market. Using brokerage account records, we observe …