Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market

Yang Gao, Yaojun Wang, Chao Wang and Chao Liu

Physica A: Statistical Mechanics and its Applications, 2018, vol. 510, issue C, 802-811

Abstract: Investor and media attention play a significant role in stock markets, and internet attention has been used as a proxy for investor and media attention to explore their influence on fluctuations in stock prices. This study relied on the Qihoo 360 search index to investigate the effects of investor and media attention in the Chinese stock market. We used three major information asymmetry measures to explore whether investor and media attention were relevant for stock market information asymmetry. Our empirical results reveal that investor attention accelerates information dissemination into stock prices and reduces information asymmetry significantly. However, after investor attention and other control variables are controlled for, the effect of media attention is trivial. The results confirm that internet attention facilitates forecasting market performance in the Chinese stock market.

Keywords: Information asymmetry; Investor attention; Media attention; Probability of informed trading (PIN) (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:510:y:2018:i:c:p:802-811

DOI: 10.1016/j.physa.2018.07.016

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