The Impact of Media Attention on the Illiquidity of Stocks: Evidence from the Global FinTech Sector

Abstract

As a result of technological innovations in data processing, the exploitation of Internet usage data in relation to search engines or social networks is becoming increasingly intriguing for understanding and anticipating stock market movements. We analyze the impact of three alternative investor attention variables, i. e. Google search volume, Wikipedia page views, and stock market-relevant news on the rapidly growing FinTech sector. The result of the simultaneous correlation analysis reveals a highly significant correlation between the trading activities of the FinTech sector and the three investor attention variables. The time-delayed regression analysis complements the results by identifying substantial changes of the effects within one week considering the order of magnitude and sign. Furthermore, multivariate regression analysis highlights that the explanatory power for future stock trading activities and illiquidity primarily depends on Google search volume and stock market-relevant news volume, while the simultaneous correlations are best explained by the number of visits to the corresponding Wikipedia page.

The impact of managerial competence on investor attention

“…Managerial competencies are a combination of knowledge, skills, experience and other characteristics that managers possess to create value or excess returns for the firm, and their importance has been demonstrated in behavioural research [ 1 ]. Related literature has found that managerial competencies can have a significant impact on firms, mainly in terms of their innovative activities [2] and investment efficiency [3].…”

“…(1) 3) of Table 3 report the results of the regression between managerial capability and investor concern using Model 1. Column (1) shows the regression results without the inclusion of control variables and without controlling for year and industry fixed effects, column (2) controls for year and industry fixed effects, and column (3) adds control variables to column (2) for the regression. The regression results indicate that the coefficients on MA_Score are all positive, indicating that manager competence has a significant elevating effect on investor attention at the 1% significance level and hypothesis one holds.…”