A new attention proxy and order imbalance: Evidence from China
Gao, Ya; Xiong, Xiong; Feng, Xu; Li, Youwei; Vigne, Samuel A.
Professor Youwei Li Youwei.Li@hull.ac.uk
Samuel A. Vigne
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|
|Journal||Finance Research Letters|
|Peer Reviewed||Peer Reviewed|
|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|
|Keywords||Investor attention; Heterogeneous trading behaviour; Chinese stock market; Eastmoney; Guba|
© 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/
You might also like
How did order-flow impact bond prices during the European Sovereign Debt Crisis?
Social media effect, investor recognition and the cross-section of stock returns
Intraday time-series momentum: Evidence from China
Overnight momentum, informational shocks, and late informed trading in China