Investor Attention, Market Liquidity and Stock Return: A New Perspective

Bin Wang (), Wen Long () and Xianhua Wei ()

Asian Economic and Financial Review, 2018, vol. 8, issue 3, 341-352

Abstract: We propose a new method to measure the investor attention paid to a specific industry using search data from search engine. Instead of taking company names or stock codes as keywords, we select keywords from a corpus of texts concerning a given industry by text-analysis technique such as TextRank algorithm. Two indices were constructed by principal component analysis method, including a positive index and a negative index. The empirical analysis demonstrates that the influence of investor attention on market liquidity is coincident and significant, and the effect on industry stock index return is less significant.

Keywords: Investor attention; Market liquidity; Natural language processing (NLP); Stock return; Internet data; Text analysis. (search for similar items in EconPapers)
Date: 2018
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