文献类型：期刊文献

英文题名：The effect of investor-driven information diffusion on excess comovement: Evidence from retail and institutional investors in China and the United States

作者：Ren, Fei[1];Yi, Miaomiao[1];Chen, Zhang-Hangjian[2];Gao, Xiang[3]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]Anhui Univ, Sch Econ, Hefei 230601, Peoples R China;[3]Shanghai Business Sch, Res Ctr Finance, 2271 West Zhong Shan Rd, Shanghai 200235, Peoples R China

年份：2026

卷号：106

外文期刊名：JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY

收录：;EI(收录号：20260264332);WOS:【SSCI(收录号:WOS:001621665900001)】；

语种：英文

外文关键词：Investor-driven information diffusion; Excess comovement; Retail and institutional investors; Investors' trading behavior

摘要：This study investigates how cross-stock information diffusion, driven by both retail and institutional investors, influences excess comovement in the Chinese retail-dominated market and the U. S. institution-dominated market. Using data from 4,533 Chinese stocks and 4,517 U.S. stocks from 2010 to 2022, we identify three key findings. First, the dominant investor group in each market significantly drives excess comovement. Specifically, in China, compared with institution-driven diffusion, retail-driven information diffusion has a notably stronger effect on excess comovement. In contrast, in the U.S., institution-driven diffusion is the primary driver of excess comovement, surpassing the influence of retail-driven diffusion. Second, we identify investors' trading behavior as the underlying mechanism through which information diffusion affects excess comovement. Third, we observe a lead-lag relationship: stocks with faster retail-driven information diffusion exhibit comovement that precedes those with slower diffusion. Based on this finding, we further demonstrate that the predictive power of information diffusion varies across markets. In China, retail-driven diffusion shows strong and persistent predictability for excess comovement, whereas in the U.S., institution-driven diffusion exhibits similarly robust predictive capacity.