The “two sessions”: institutional investors selloff to avoid ambiguity
Abstract We construct a model to examine the time-varying ambiguity of investors. When ambiguity occurs concerning recent news, long (short) position investors who are averse to ambiguity reduce (increase) their holdings, resulting in price drops (rises). We empirically analyze how the “two sessions...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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SpringerOpen
2025-02-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-024-00711-6 |
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| _version_ | 1850198012103491584 |
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| author | Jiarui Wang Haijun Yang Shancun Liu |
| author_facet | Jiarui Wang Haijun Yang Shancun Liu |
| author_sort | Jiarui Wang |
| collection | DOAJ |
| description | Abstract We construct a model to examine the time-varying ambiguity of investors. When ambiguity occurs concerning recent news, long (short) position investors who are averse to ambiguity reduce (increase) their holdings, resulting in price drops (rises). We empirically analyze how the “two sessions,” a significant event with high policy ambiguity in China, affect the financial market. Our findings suggest that institutional investors mainly sell their holdings between 15 and 5 days before the meetings. Furthermore, the delay in the “two sessions” in 2020 suggests that these selloffs are driven by ambiguity aversion rather than new information. |
| format | Article |
| id | doaj-art-c8583be706ee4f77bbaee69ad54a17e9 |
| institution | OA Journals |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-02-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-c8583be706ee4f77bbaee69ad54a17e92025-08-20T02:12:58ZengSpringerOpenFinancial Innovation2199-47302025-02-0111112510.1186/s40854-024-00711-6The “two sessions”: institutional investors selloff to avoid ambiguityJiarui Wang0Haijun Yang1Shancun Liu2School of Economics and Management, Beihang UniversitySchool of Economics and Management, Beihang UniversitySchool of Economics and Management, Beihang UniversityAbstract We construct a model to examine the time-varying ambiguity of investors. When ambiguity occurs concerning recent news, long (short) position investors who are averse to ambiguity reduce (increase) their holdings, resulting in price drops (rises). We empirically analyze how the “two sessions,” a significant event with high policy ambiguity in China, affect the financial market. Our findings suggest that institutional investors mainly sell their holdings between 15 and 5 days before the meetings. Furthermore, the delay in the “two sessions” in 2020 suggests that these selloffs are driven by ambiguity aversion rather than new information.https://doi.org/10.1186/s40854-024-00711-6Two sessionsSelloffAmbiguity aversionInstitutional investors |
| spellingShingle | Jiarui Wang Haijun Yang Shancun Liu The “two sessions”: institutional investors selloff to avoid ambiguity Financial Innovation Two sessions Selloff Ambiguity aversion Institutional investors |
| title | The “two sessions”: institutional investors selloff to avoid ambiguity |
| title_full | The “two sessions”: institutional investors selloff to avoid ambiguity |
| title_fullStr | The “two sessions”: institutional investors selloff to avoid ambiguity |
| title_full_unstemmed | The “two sessions”: institutional investors selloff to avoid ambiguity |
| title_short | The “two sessions”: institutional investors selloff to avoid ambiguity |
| title_sort | two sessions institutional investors selloff to avoid ambiguity |
| topic | Two sessions Selloff Ambiguity aversion Institutional investors |
| url | https://doi.org/10.1186/s40854-024-00711-6 |
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