Retail investor attention and stock liquidity

Rong Ding and Wenxuan Hou

Journal of International Financial Markets, Institutions and Money, 2015, vol. 37, issue C, 12-26

Abstract: We use the search volume index (SVI) of the stock ticker provided by Google Trends to capture the active attention that retail investors pay to stocks. Based on the analysis of S&P 500 stocks from 2004 to 2009, we show that the majority of the variation in SVI cannot be explained by passive attention measures, including Google News coverage and advertising expenditure. We find that retail investor attention, reflected by the level and change in SVI, significantly enlarges the shareholder base and improves stock liquidity. The results are robust to the control of endogeneity issues.

Keywords: Investors’ attention; Breadth of ownership; Liquidity; Bid-ask spread; SVI; Media coverage; Google; Retail investor (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (104)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:37:y:2015:i:c:p:12-26

DOI: 10.1016/j.intfin.2015.04.001

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