Brokers' financial network and stock return

Hongwei Chuang

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

Brokerage firms are usually not only known for trading stocks for their retail clients in return for commission fee but also known for being information distributors of their clients' investment recommenders. However, only a few studies have examined investors' trading behaviors within a brokerage firm. This study proposes a financial network model in modeling the information diffusion process of investors within brokerage firms and investigates the potential effect of interconnectedness among brokerage firms on stock returns. We find that the centrality of brokerage firms has strong explanatory power to stock returns even if we control for the Fama-French pricing factors and other characteristics of stock.

Original languageEnglish
Pages (from-to)172-183
Number of pages12
JournalNorth American Journal of Economics and Finance
Volume36
DOIs
Publication statusPublished - 2016 Apr 1

Keywords

  • Brokerage firm
  • C3
  • Financial network
  • G2
  • Granger causality
  • Information diffusion

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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