A new attention proxy and order imbalance: Evidence from China

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

Finance Research Letters, 2019, vol. 29, issue C, 411-417

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

Keywords: Investor attention; Heterogeneous trading behaviour; Chinese stock market; Eastmoney; Guba (search for similar items in EconPapers)
JEL-codes: G10 G12 G41 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:29:y:2019:i:c:p:411-417

DOI: 10.1016/j.frl.2018.11.009

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