Traffic Congestion and Stock Trading: Evidence from China

钱先航，管理学博士，山东大学齐鲁青年学者，经济学院金融学教授、博士生导师。近年来一直从事公司金融、公司治理、银行治理的教学和研究工作。累计在International Review of Finance、Corporate Governance: An International Review、China Economic Review、《经济研究》、《经济学季刊》、《管理世界》、《金融研究》、《会计研究》等国内外期刊发表学术论文三十余篇，研究成果获首届（2014年度）孙冶方金融创新奖、山东省社会科学优秀成果一等奖、第十届全国优秀金融论文二等奖、山东省社会科学学科新秀奖等多项奖励，承担国家自然科学基金、教育部人文社科基金、中国博士后基金特别资助和面上项目、山东省自然科学基金、山东省社科规划项目等课题。

This paper provides a new perspective for understanding stock trading. Using the matching data of city-level traffic congestion and stock block trading in China, we investigate the impact of traffic congestion in trader's city on stock trading including trading price and stock return, and further inspect the role of information. The empirical results indicate that traffic congestion of buyer or seller's city can significantly reduce trading premium rate, and it persists after addressing endogeneity concerns and across different methods. However, the effect of traffic congest is only significant or much larger when there are less public or private information on trading corporations. We also find that buyer in cities with higher traffic congestion will suffer a significant loss after twenty days of trading, and the effect only exists with less information on corporations.