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A new attention proxy and order imbalance: Evidence from China

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

Authors

Ya Gao

Xiong Xiong

Xu Feng

Samuel A. Vigne



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

Journal Article Type Article
Publication Date 2019-06
Journal Finance Research Letters
Print ISSN 1544-6123
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 29
Pages 411-417
APA6 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
DOI https://doi.org/10.1016/j.frl.2018.11.009
Keywords Investor attention; Heterogeneous trading behaviour; Chinese stock market; Eastmoney; Guba
Publisher URL https://www.sciencedirect.com/science/article/pii/S1544612318306081?via%3Dihub

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Copyright Statement
© 2019. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/





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