This study investigates the U.S. stock market efficiency from the symmetric and asymmetric perspectives during the COVID-19 pandemic. We explore that the pandemic boosts (hurts) the information role of symmetrically (asymmetrically) informed trading. Specifically, we find that the epidemic outbreak and infection scale strengthen (weaken) the stock return reaction to symmetrically (asymmetrically) informed trading. Evidence also indicates that the effect of symmetrically (asymmetrically) informed trading on stocks' permanent price shocks and price informational efficiency is enhanced (impaired) during the pandemic. Moreover, all these effects are consistently more intensive to informed buys.

本研究从对称和不对称的角度调查了 COVID-19 大流行期间美国股市的效率。我们探索大流行病促进（损害）对称（不对称）知情交易的信息作用。具体来说，我们发现疫情爆发和感染规模加强（削弱）股票回报对对称（不对称）知情交易的反应。证据还表明，对称（非对称）知情交易对股票永久价格冲击和价格信息效率的影响在大流行期间得到增强（削弱）。此外，所有这些影响始终对知情购买者更为强烈。