Brokers' financial network and stock return

Hongwei Chuang

doi:10.1016/j.najef.2016.01.001

Brokers' financial network and stock return

Hongwei Chuang

Economics and Management

Research output: Contribution to journal › Article › peer-review

3 Citations (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 language	English
Pages (from-to)	172-183
Number of pages	12
Journal	North American Journal of Economics and Finance
Volume	36
DOIs	https://doi.org/10.1016/j.najef.2016.01.001
Publication status	Published - 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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10.1016/j.najef.2016.01.001

Cite this

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title = "Brokers' financial network and stock return",

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.",

keywords = "Brokerage firm, C3, Financial network, G2, Granger causality, Information diffusion",

author = "Hongwei Chuang",

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AU - Chuang, Hongwei

N1 - Funding Information: We would like to thank the seminar participants from the National Chung Hsing University, Tohoku University and 2014 JAFEE Summer Meeting in Seijo University. We also thank the 2014 ISHII Memorial Securities Research Promotion Foundation Research Fund for the funding support. Publisher Copyright: © 2016 Elsevier Inc.

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AB - 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.

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KW - Financial network

KW - G2

KW - Granger causality

KW - Information diffusion

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Brokers' financial network and stock return

Abstract

Keywords

ASJC Scopus subject areas

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