Asymmetry of retail investors’ attention and asymmetric volatility: Evidence from China

Shuning Chen, Wei Zhang, Xu Feng and Xiong Xiong

Finance Research Letters, 2020, vol. 36, issue C

Abstract: In this paper, we propose a new proxy to measure asymmetric attention of retailers with signed (positive, negative and neutral attitude) posts published on online stock message board of Chinese A-share market. It shows that the proxy for asymmetric attention is significant and positive related to volatility asymmetry. Furthermore, we find that negative information arrivals can induce higher volatility asymmetry, and asymmetric attention which acts as a mediator incorporates more negative information flows into market, which then triggers high asymmetric volatility. Moreover, this proxy is an independent variable from idiosyncratic financial leverage, but its influence on asymmetric volatility increases with market systematical risks.

Keywords: Asymmetric volatility; Asymmetric attention; Leverage effect; Mediation effect; Systematical risks (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319309353

DOI: 10.1016/j.frl.2019.101334

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