Digital communication and informed trading: Evidence from social distancing orders

Abstract

This study investigates the relationship between digital communication and the of informed trading (PIN). Using social distancing orders in March 2020 as an shock, this study identifies digital communication among market participants and PIN significantly decreased after the social distancing orders became effective. Robustness at the state level and using an international sample further confirm the negative digital communication on PIN. These findings suggest that the ongoing media transition face-to-face to digital communication can negatively influence informed trading markets.