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

A new attention proxy and order imbalance: Evidence from China / Gao, Y.; Xiong, X.; Feng, X.; Li, Y.; Vigne, Samuel Alexandre. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 29:(2019), pp. 411-417. [10.1016/j.frl.2018.11.009]

A new attention proxy and order imbalance: Evidence from China

Vigne, S. A.
2019

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 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
Investor attention, Heterogeneous trading behaviour, Chinese stock market, Eastmoney, Guba
A new attention proxy and order imbalance: Evidence from China / Gao, Y.; Xiong, X.; Feng, X.; Li, Y.; Vigne, Samuel Alexandre. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 29:(2019), pp. 411-417. [10.1016/j.frl.2018.11.009]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/222580
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