Financial attention and the demand for information
Mahmoud Qadan and
Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2019, vol. 82, issue C
This study tracks the daily traffic on the leading financial websites in the US, and uses the attention paid to these websites as a proxy for retailers’ aggregate demand for information. We determine that attention to financial websites is positively correlated with uncertainty and negatively associated with investor sentiment. Furthermore, market shocks drive attention to financial websites, and heightened attention predicts an increase in the following trading day's volatility. Consistent with the information arrival hypothesis, the search for information is higher on Mondays and Tuesdays and lower on weekends. As some retail investors are noise traders, attention to financial websites has a positive effect on volatility and increases trading volume. Finally, using 5-min intraday data, we construct a daily-implied risk aversion proxy and provide evidence supporting the theoretical contention that risk-averse agents gather information as a hedge against uncertainty. However, our findings do not support the avoidance of information theories.
Keywords: Attention; Demand for information; Google; Investor sentiment; Noise traders; Retail investors; Search engines; Volatility risk premium (search for similar items in EconPapers)
JEL-codes: G10 G14 G17 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:soceco:v:82:y:2019:i:c:s2214804319300874
Access Statistics for this article
Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics) is currently edited by Ofer Azar
More articles in Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics) from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().