Investor Attention and Global Stock Returns

Chen, Tao

doi:10.1080/15427560.2017.1331235

Cited by 68 publications

(38 citation statements)

References 29 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Global stock returns and investor attention RBF 13,1 increase in GSV(global) is associated with a À6.75% (À0.25 * 27.0) return. The results are consistent with those found in Da et al (2015) and Chen (2017).…”

Section: Global Marketssupporting

confidence: 92%

“…However, there is no consensus about the direction of the influence of GSV on stock returns. The extant literature provides evidence of a positive influence (Bank et al , 2011; Da et al , 2011; Tang and Zhu, 2017), a negative influence (Vozlyublennaia, 2014; Da et al , 2015; Bijl et al , 2016; Chen, 2017) and no influence (Preis et al , 2010; Takeda and Wakao, 2014; Kim et al , 2019) on returns. We contribute to this discussion by providing additional evidence of a negative relationship.…”

Section: Introductionmentioning

confidence: 99%

“…To-date, the empirical investigation has ignored stock market sectors and focussed on market indexes (Vozlyublennaia, 2014; Chen, 2017) and individual firms (e.g. Da et al , 2011; 2015; Takeda and Wakao, 2014).…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Investor attention and the response of US stock market sectors to the COVID-19 crisis

Smales

2020

RBF

View full text Add to dashboard Cite

PurposeCOVID-19 has had an immense impact on global stock markets, with no sector escaping its effects. Investor attention towards COVID-19 surged as the virus spread, the number of cases grew and its consequences imposed on everyday life. We assess whether this increase in investor attention may explain stock returns across different sectors during this unusual period.Design/methodology/approachWe adopt the methodology of Da et al. (2015), using Google search volume (GSV) as a proxy for investor attention to examine the relationship between investor attention and stock returns across 11 sectors.FindingsOur results demonstrate that heightened attention towards COVID-19 negatively influences US stock returns. However, relatively speaking, some sectors appear to have gained from the increased attention. This outperformance is centred in the sectors most likely to benefit (or likely to lose least) from the crisis and associated spending by households and government (i.e. consumer staples, healthcare and IT). Such results may be explained by an information discovery hypothesis in the sense that investors are searching online for information to enable a greater understanding of COVID-19's impact on relative stock sector performance.Originality/valueWhile we do not claim that investor attention is the only driver of stock returns during this unique period, we do provide evidence that it contributes to the market impact and to the heterogeneity of returns across stock market sectors.

show abstract

Section: Global Marketssupporting

confidence: 92%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Investor attention and the response of US stock market sectors to the COVID-19 crisis

Smales

2020

RBF

View full text Add to dashboard Cite

show abstract

“…Lutz used a dynamic model to construct a new indicator to measure investor sentiment and found that it was asymmetric [15]. Chen constructed a measure that directly reflects investors' attention toward the global benchmark indices and studied the relationship between this measure and investor sentiment [16]. Debata et al examined the impact of local and foreign investor sentiment on emerging stock market liquidity.…”

Section: Introductionmentioning

confidence: 99%

The Measurement Method of Investor Sentiment and Its Relationship with Stock Market

Sui

2021

Computational Intelligence and Neuroscience

View full text Add to dashboard Cite

Investor sentiment is a hot topic in behavioral finance. How to measure investor sentiment? Is the influence of investor sentiment on the stock market symmetrical? That is all we need to think about. Therefore, this paper firstly selects five emotional proxy variables and constructs an investor sentiment composite index by principal component analysis. Secondly, the MS-VAR model is employed to study the dynamic relationship among investor sentiment, stock market returns, and volatility. Using the model MSIH (2)-VAR (2), we found that the relationship among the investor sentiment, stock returns, and volatility is different in different regimes. The results of orthogonal cumulative impulse response analysis showed that the shock to investor sentiment has a significant impact on stock market returns, and this impact in the bullish stock market is significantly higher than in the bearish stock market. The impact of the shock to stock market returns on investor sentiment and stock market volatility is relatively significant. The shock to stock market volatility has significant effects on the stock market returns. Overall, the influence of investor sentiment on the stock market is asymmetric; that is, in different regimes of the stock market, the impact of investor sentiment on the stock market is different. Realizing this, investors can better understand and grasp the market, guiding their own investment behavior. Other researchers can also further study the measurement of investor sentiment on this basis to better guide investors’ behavior.

show abstract

“…Some studies have shown that investor attention measured from Twitter [4,5], Google [6], Facebook [7], Baidu Index [8,9], and other channels [2,10] can be used to analyze the stock performance. In particular, Chen [11] used Google search volume to measure investor attention to analyze global stock markets. Vozlyublennaia [12] used Google search frequency to measure investor attention and found that there was a significant short-term change in index returns following an increased attention but a shock to returns leads to a long-term change in attention.…”

Section: Introductionmentioning

confidence: 99%

Weibo Attention and Stock Market Performance: Some Empirical Evidence

Dong

Xiong

et al. 2018

Complexity

View full text Add to dashboard Cite

In this paper, we employ Weibo Index as the proxy for investor attention and analyze the relationships between investor attention and stock market performance, i.e., trading volume, return, and volatility. The empirical results firstly show that Weibo attention is positively related to trading volume, intraday volatility, and return. Secondly, there exist bidirectional causal relationships between Weibo attention and stock market performance. Thirdly, we generally find that higher Weibo attention indicates higher correlation coefficients with the quantile regression analysis.

show abstract

Investor Attention and Global Stock Returns

Cited by 68 publications

References 29 publications

Investor attention and the response of US stock market sectors to the COVID-19 crisis

Investor attention and the response of US stock market sectors to the COVID-19 crisis

The Measurement Method of Investor Sentiment and Its Relationship with Stock Market

Weibo Attention and Stock Market Performance: Some Empirical Evidence

Contact Info

Product

Resources

About