Ya Gao
A new attention proxy and order imbalance: Evidence from China
Gao, Ya; Xiong, Xiong; Feng, Xu; Li, Youwei; Vigne, Samuel A.
Authors
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 |
Contract Date | Mar 19, 2019 |
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Publisher Licence URL
https://creativecommons.org/licenses/by-nc-nd/4.0/
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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