Speculation Spillovers
研究发现中国权证泡沫期间，权证市场的投机活动会吸引投资者注意力，导致他们在标的股票上更投机地交易，表现为换手率和波动率上升。
This paper demonstrates that speculative activities can be contagious and spill over across markets. Specifically, we test the hypothesis that during China's warrants bubble period, speculative activities in the warrants market grabbed investors' attention and caused them to trade more speculatively in the underlying stocks. Consistent with this hypothesis, we find that turnover and return volatility of the underlying stocks are positively associated with the warrants' unexpected turnover and price deviation from their fundamental values during the previous day, controlling for information-driven trading and hedging motives, and that such a spillover effect is more pronounced when warrants attract more investor attention. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2014.1914 . This paper was accepted by Wei Xiong, finance.