Retail investor attention and stock liquidity

被引：154

作者：

Ding, Rong ^{[1
]}

Hou, Wenxuan ^{[2
]}

机构：

[1] Univ Warwick, Warwick Business Sch, Coventry CV4 7AL, W Midlands, England

[2] Univ Edinburgh, Sch Business, Edinburgh EH8 9JS, Midlothian, Scotland

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2015年 / 37卷

关键词：

Investors' attention; Breadth of ownership; Liquidity; Bid-ask spread; SVI; Media coverage; Google; Retail investor; CROSS-SECTION; MARKET; MEDIA;

D O I：

10.1016/j.intfin.2015.04.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：12 / 26

页数：15

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