摘要
Everbright Securities Ltd. erroneously submitted huge quantities of buy orders on SSE180 constituent stocks from 11：05 through 11：07 on 16 August 2013. This fat finger accident had a pronounced impact on the Chinese stock markets. This paper uses the accident to study market quality and investors＇ responses. We show that the Chinese stock markets were robust enough to stand the trial, exhibiting deep depths and strong resiliency. However, the markets performed poorly in terms of aggregating information because there were large price swings after the erroneous orders were executed. Moreover, investors quickly change their beliefs as to the reasons to the dramatic price jumps, consistent with information cascade theory.
Everbright Securities Ltd. erroneously submitted huge quantities of buy orders on SSE180 constituent stocks from 11：05 through 11：07 on 16 August 2013. This fat finger accident had a pronounced impact on the Chinese stock markets. This paper uses the accident to study market quality and investors＇ responses. We show that the Chinese stock markets were robust enough to stand the trial, exhibiting deep depths and strong resiliency. However, the markets performed poorly in terms of aggregating information because there were large price swings after the erroneous orders were executed. Moreover, investors quickly change their beliefs as to the reasons to the dramatic price jumps, consistent with information cascade theory.
基金
We gratefully acknowledge the support by National Natural Science Foundation of China through grants 71202146 and 71402028. We thank the Executive Editor-in-Chief and two anonymous referees for helpful comments.
