A new attention proxy and order imbalance: Evidence from China
File Type:
PDFItem Type:
Journal ArticleDate:
2019Access:
openAccessCitation:
Gao, Y., Xiong, X., Feng, X., Li, Y. & Vigne, S.A., A new attention proxy and order imbalance: Evidence from China, Finance Research Letters, 29, 2019, 411 - 417Download Item:
A new attention proxy and order imbalance Evidence from China.pdf (Published (author's copy) - Peer Reviewed) 215.7Kb
Abstract:
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 Stock Exchange, we find that our proposed proxy (i) is significantly correlated to existing attention proxies; (ii) leads to contemporarily high returns and long-time reversal; (iii) is related to heterogeneous trading behaviour of different investors. In summary, we add value to the field of investor attention approximation with a new and efficient measure that can be useful for guiding and modelling investor's trading.
URI:
https://www.sciencedirect.com/science/article/abs/pii/S1544612318306081?via%3Dihubhttp://hdl.handle.net/2262/92148
Author's Homepage:
http://people.tcd.ie/svigneDescription:
PUBLISHEDType of material:
Journal ArticleURI:
https://www.sciencedirect.com/science/article/abs/pii/S1544612318306081?via%3Dihubhttp://hdl.handle.net/2262/92148
Series/Report no:
Finance Research Letters;29;
Availability:
Full text availableKeywords:
Investor attention, Heterogeneous trading behaviour, Chinese stock market, Guba, Eastmoney gubaDOI:
http://dx.doi.org/10.1016/j.frl.2018.11.009ISSN:
15446123Licences: