A new attention proxy and order imbalance: Evidence from China

Gao, Ya; Xiong, Xiong; Feng, Xu; Li, Youwei; Vigne, Samuel A.

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

Citation

Gao, Y., Xiong, X., Feng, X., Li, Y., & Vigne, S. A. (2019). A new attention proxy and order imbalance: Evidence from China. Finance research letters, 29, 411-417. https://doi.org/10.1016/j.frl.2018.11.009

• Journal Article Type: Article
• Acceptance Date: Nov 15, 2018
• Online Publication Date: Nov 20, 2018
• Publication Date: 2019-06
• Deposit Date: Mar 19, 2019
• Publicly Available Date: Nov 21, 2019
• Journal: Finance Research Letters
• Print ISSN: 1544-6123
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 29
• Pages: 411-417
• DOI: https://doi.org/10.1016/j.frl.2018.11.009
• Keywords: Investor attention; Heterogeneous trading behaviour; Chinese stock market; Eastmoney; Guba
• Public URL: https://hull-repository.worktribe.com/output/1389483
• Publisher URL: https://www.sciencedirect.com/science/article/pii/S1544612318306081?via%3Dihub