A new attention proxy and order imbalance: Evidence from China

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 Ashares 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