Browsing by Author "Gao, Ya"
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A new attention proxy and order imbalance: Evidence from China
Vigne, Samuel; Li, Youwei; Feng, Xu; Xiong, Xiong; Gao, Ya (2019)In this paper, we propose a new direct proxy for investors' attention in the Chinese stock market: daily abnormal reading quantity of each stock's posts on the Eastmoney guba website. Using A-shares samples of the Shanghai ...