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Retail investor attention and stock liquidity
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Ding, Rong and Hou, Wenxuan (2015) Retail investor attention and stock liquidity. Journal of International Financial Markets, Institutions and Money, 37 . pp. 12-26. doi:10.1016/j.intfin.2015.04.001 ISSN 1042-4431.
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Official URL: http://dx.doi.org/10.1016/j.intfin.2015.04.001
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&P500 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.
| Item Type: | Journal Article | ||||||||
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| Subjects: | H Social Sciences > HG Finance | ||||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Accounting Faculty of Social Sciences > Warwick Business School |
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| Journal or Publication Title: | Journal of International Financial Markets, Institutions and Money | ||||||||
| Publisher: | Elsevier Inc. | ||||||||
| ISSN: | 1042-4431 | ||||||||
| Official Date: | July 2015 | ||||||||
| Dates: |
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| Volume: | 37 | ||||||||
| Page Range: | pp. 12-26 | ||||||||
| DOI: | 10.1016/j.intfin.2015.04.001 | ||||||||
| Status: | Peer Reviewed | ||||||||
| Publication Status: | Published | ||||||||
| Access rights to Published version: | Restricted or Subscription Access |
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