Jiayuan (Shin) Chen

Jiayuan (Shin) Chen

I am a fifth-year Ph.D. candidate in Finance at the University of Melbourne, Australia. I received my bachelor's degree (with honours) from the University of Melbourne, Australia. My supervisory committee includes Bryan Lim, Carole Comerton-Forde (Principal Supervisor), and Qi Zeng

Research Interests: Empirical Market Microstructure, Empirical Asset Pricing

Contact Information

jiac1@student.unimelb.edu.au

Level 11, 198 Berkeley Street,

Carlton, VIC 3010, Australia

Working Papers

1. ETF shorting activity, return predictability and information efficiency of underlying securities

Abstract:
This paper examines the impact of Exchange-Traded Fund (ETF) shorting activity on future returns and the information efficiency of ETF’s underlying securities. I document that ETF shorting activity negatively predicts future ETF returns, especially during periods of macroeconomic news releases, and future returns of ETF’s underlying securities. This return predictability supports that ETF shorting activity is informed about market-wide information. I further corroborate that ETF shorting activity helps improve the information efficiency of ETFs’ underlying securities by helping incorporate market-wide information into stock prices rather than firm-specific information. Collectively, my results substantiate that informed traders short ETFs to speculate about their negative market-wide information, thereby improving the information efficiency of ETFs’ underlying securities.

2. The informativeness of liquidity-demanding and liquidity-supplying shorts

Abstract:
This paper distinguishes between liquidity-supplying and liquidity-demanding shorts and underscores their informative roles in the financial market. I document that liquidity-demanding shorts have predictive power over future stock returns and earnings surprises, whereas liquidity-supplying shorts have no such power. I find that liquidity-demanding shorts are associated with increased information acquisition and fewer hedge fund holdings, while liquidity-supplying shorts do not exhibit such an association. These findings collectively support that liquidity-demanding shorts are informed, while liquidity-supplying shorts are uninformed.

Work in Progress

Systematic Internalizers, inter-market competition and market quality, with Carole Comerton-Forde

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