Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic

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. •We examine the informativeness of heterogeneously informed trading during the COVID-19 pandemic.•The pandemic distorts stock return reactions to symmetrically and asymmetrically informed trading.•The effects of the two types of informed trading on stocks' permanent price shocks are also biased.•The distorted effects also apply to stocks' price informational efficiency.•All the above effects are consistently more intensive to informed buys.