@article { , title = {A new attention proxy and order imbalance: Evidence from China}, 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}, doi = {10.1016/j.frl.2018.11.009}, issn = {1544-6123}, journal = {Finance Research Letters}, pages = {411-417}, publicationstatus = {Published}, publisher = {Elsevier}, url = {https://hull-repository.worktribe.com/output/1389483}, volume = {29}, keyword = {Business and Logistics, Investor attention, Heterogeneous trading behaviour, Chinese stock market, Eastmoney, Guba}, year = {2019}, author = {Gao, Ya and Xiong, Xiong and Feng, Xu and Li, Youwei and Vigne, Samuel A.} }