Retail investor attention and herding behavior

Shu-Fan Hsieh, Chia-Ying Chan and Ming-Chun Wang

Journal of Empirical Finance, 2020, vol. 59, issue C, 109-132

Abstract: In this paper, we argue that when individual investors can obtain information from public resources such as Google search, the degree of investor attention to a particular underlying company is positively linked with herding behavior for retail investors. Empirical results confirm that Google Search Volume Index can be a proxy for the information demand of uninformed individual investors. Empirical evidence also shows that reaching the price limit generates an attention-grabbing effect. Further, in general, small cap firms generate more intensive individual investor herding. In addition, we explore the asymmetric impact of abnormal search volume index on individual investor herding behavior for bull and bear markets, and confirm that the individual investor buy herding phenomenon is stronger in bull markets, especially for small capitalization firms. In bear markets, with greater price deterioration for large cap firms, we detect herding behavior on the sell side.

Keywords: Investor attention; Information demand; Herding; Google search volume index (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (25)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:59:y:2020:i:c:p:109-132

DOI: 10.1016/j.jempfin.2020.09.005

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