dc.contributor.author | Vigne, Samuel | |
dc.contributor.author | Li, Youwei | |
dc.contributor.author | Feng, Xu | |
dc.contributor.author | Xiong, Xiong | |
dc.contributor.author | Gao, Ya | |
dc.date.accessioned | 2020-04-01T13:34:17Z | |
dc.date.available | 2020-04-01T13:34:17Z | |
dc.date.issued | 2019 | |
dc.date.submitted | 2019 | en |
dc.identifier.citation | Gao, Y., Xiong, X., Feng, X., Li, Y. & Vigne, S.A., A new attention proxy and order imbalance: Evidence from China, Finance Research Letters, 29, 2019, 411 - 417 | en |
dc.identifier.issn | 15446123 | |
dc.identifier.other | Y | |
dc.description | PUBLISHED | en |
dc.description.abstract | In this paper, we propose a new direct proxy for investors' attention in the Chinese stock market: daily abnormal reading quantity of each stock's posts on the Eastmoney guba website. Using A-shares samples of the Shanghai Stock Exchange, we find that our proposed proxy (i) is significantly correlated to existing attention proxies; (ii) leads to contemporarily high returns and long-time reversal; (iii) is related to heterogeneous trading behaviour of different investors. In summary, we add value to the field of investor attention approximation with a new and efficient measure that can be useful for guiding and modelling investor's trading. | en |
dc.format.extent | 411 | en |
dc.format.extent | 417 | en |
dc.language.iso | en | en |
dc.relation.ispartofseries | Finance Research Letters; | |
dc.relation.ispartofseries | 29; | |
dc.rights | Y | en |
dc.subject | Investor attention | en |
dc.subject | Heterogeneous trading behaviour | en |
dc.subject | Chinese stock market | en |
dc.subject | Guba | en |
dc.subject | Eastmoney guba | en |
dc.title | A new attention proxy and order imbalance: Evidence from China | en |
dc.type | Journal Article | en |
dc.type.supercollection | scholarly_publications | en |
dc.type.supercollection | refereed_publications | en |
dc.identifier.peoplefinderurl | http://people.tcd.ie/svigne | |
dc.identifier.rssinternalid | 205869 | |
dc.identifier.doi | http://dx.doi.org/10.1016/j.frl.2018.11.009 | |
dc.rights.ecaccessrights | openAccess | |
dc.identifier.uri | https://www.sciencedirect.com/science/article/abs/pii/S1544612318306081?via%3Dihub | |
dc.identifier.uri | http://hdl.handle.net/2262/92148 | |