Investor attention and market microstructure

被引：18
作者：
Ruan, Xinfeng [1 ]
Zhang, Jin E. [1 ]
机构：
[1] Univ Otago, Otago Business Sch, Dept Accountancy & Finance, Dunedin 9054, New Zealand
来源：
ECONOMICS LETTERS | 2016年 / 149卷
关键词：
Investor attention; Market microstructure; OVERCONFIDENCE;
D O I：
10.1016/j.econlet.2016.10.032
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper develops the first economic model to study the impact of investor attention on the market microstructure in the Kyle's (1985) setup. Our model strongly supports the empirical observation that higher investor attention leads to higher stock market volatility. The first special case with one fully and one limited attentive traders explains that higher attention leads to higher trading intensity of retail investors, market liquidity and stock market volatility. The second special case with one fully inattentive and one limited attentive traders explains how investor attention affects buying and selling. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：125 / 130
页数：6
相关论文
共 50 条
  • [31] Corporate Social Responsibility disclosure and market value: The mediating role of investor attention
    Guo, Jiaqi
    Li, Changhong
    Jiao, Wenting
    [J]. FINANCE RESEARCH LETTERS, 2024, 67
  • [32] Investor attention and stock market under-reaction to earnings announcements: Evidence from the options market
    Wang, Xuewu Wesley
    Yan, Zhipeng
    Zhang, Qunzi
    Gao, Xuechen
    [J]. JOURNAL OF FUTURES MARKETS, 2018, 38 (04) : 478 - 492
  • [33] The Comovement of Investor Attention
    Drake, Michael S.
    Jennings, Jared
    Roulstone, Darren T.
    Thornock, Jacob R.
    [J]. MANAGEMENT SCIENCE, 2017, 63 (09) : 2847 - 2867
  • [34] The Geography of Investor Attention
    Mengoli, Stefano
    Pagano, Marco
    Pattitoni, Pierpaolo
    [J]. REVIEW OF CORPORATE FINANCE STUDIES, 2024,
  • [35] Investor Attention and Global Stock Market Volatility: Evidence from COVID-19
    Padungsaksawasdi, Chaiyuth
    Treepongkaruna, Sirimon
    [J]. JOURNAL OF EMERGING MARKET FINANCE, 2023, 22 (01) : 85 - 104
  • [36] Investor attention and the COVID-19 concept stocks in China's stock market
    Liu, Zhe
    Huang, Chong
    Yang, Benshuo
    [J]. INTERNATIONAL JOURNAL OF EMERGING MARKETS, 2024, 19 (08) : 2115 - 2133
  • [37] Investor Attention, Market Dynamics, and Behavioral Insights: A Study Using Google Search Volume
    Raza, Shahid
    Sun, Baiqing
    Soltani, Hassen
    Ben-Salha, Ousama
    [J]. SYSTEMS, 2025, 13 (04):
  • [38] Investor attention and the response of US stock market sectors to the COVID-19 crisis
    Smales, Lee A.
    [J]. REVIEW OF BEHAVIORAL FINANCE, 2021, 13 (01) : 20 - 39
  • [39] Forecasting stock market realized volatility: The role of investor attention to the price of petroleum products
    Li, Dakai
    [J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2024, 90 : 115 - 122
  • [40] Investor attention and platform interest rate in Chinese peer-to-peer lending market
    He, Feng
    Qin, Shuqi
    Zhang, Xiaotao
    [J]. FINANCE RESEARCH LETTERS, 2021, 39
12345