Sentiment, order imbalance, and co‐movement: An examination of shocks to retail and institutional trading activity
用订单流不平衡衡量情绪，发现情绪的正负冲击都会降低股票与市场的联动性，且负冲击影响更大；零售和机构投资者的情绪冲击均会降低联动性，但机构冲击的降低幅度较小。
Abstract Using order flow imbalance as a measure of sentiment we show that positive and negative shocks to sentiment lead to lower co‐movement between portfolio and market returns in the post‐shock period. Furthermore, an asymmetry is present as positive shocks to sentiment have less impact on co‐movement changes than negative shocks. Moreover, shocks to retail sentiment and the sentiment of two types of institutional investors lead to a reduction in co‐movement. Positive shocks to institutional order flow imbalance lead to smaller reductions in co‐movement than associated with retail shocks. These effects exist even after controlling for firm‐specific and market‐wide news.