2016 CAP Congress / Congrès de l'ACP 2016

Comovement of Unrelated Equities with Similar Ticker Symbols

14 Jun 2016, 19:08

2m

SITE Atrium (University of Ottawa)

Poster (Non-Student) / affiche (non-étudiant) Industrial and Applied Physics / Physique industrielle et appliquée (DIAP-DPIA) DIAP Poster Session with beer / Session d'affiches, avec bière DPIA

Speaker

Jonathon David White (Yuan Ze University)

Description

Correlation is used to analyze the daily returns of pairs of unrelated stocks with similar ticker symbols. By encoding the relationship between two Chinese ticker symbols by three digits, we found that, in contrast to the developed Western markets, comovement of stocks with similar ticker symbols is relatively common in the Taiwanese market. When the last two characters are identical, comovement influences the daily return of ~40% of stock pairs. These results suggest that investor confusion has a important role to play in the return of stocks in developing markets.