The Effects of Individual Investors' Attention on Stock Returns: Evidence from the ChiNext Market

被引：20
|
作者：
Fang, Xianming [1 ]
Jiang, Yu [1 ]
Qian, Zhijun [2 ]
机构：
[1] Nanjing Univ, Dept Finance & Insurance, Nanjing 210008, Jiangsu, Peoples R China
[2] Renmin Univ China, Hanqing Adv Inst Econ & Finance, Beijing, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2014年 / 50卷
基金：
中国国家自然科学基金; 中国博士后科学基金;
关键词：
Baidu Index; ChiNext market; individual investors' attention; stock returns; INFORMATION; SENTIMENT; TAIWAN; NEWS;
D O I：
10.2753/REE1540-496X5003S309
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We propose three hypotheses regarding the effects of individual investors' attention on stock returns according to special features of China's stock market. We adopt the Baidu index as the proxy for individual investors' attention to stocks. Empirical tests of the three hypotheses are based on sample data collected from the ChiNext market. Results show that individual investors' attention and market return have joint positive effects on short-term stock returns. Furthermore, high individual investors' attention to IPO stocks leads to high first-day returns but low long-term returns following the first trading day.
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页码：158 / 168
页数：11
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