Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China
Using the “Dragon and Tiger” list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and state o...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2020-05-01
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| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://journals.vgtu.lt/index.php/JBEM/article/view/11836 |
| _version_ | 1818787348554448896 |
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| author | Xiao-ying Zhai Ying-ying Hou Yuan-shun Li |
| author_facet | Xiao-ying Zhai Ying-ying Hou Yuan-shun Li |
| author_sort | Xiao-ying Zhai |
| collection | DOAJ |
| description | Using the “Dragon and Tiger” list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and state ownership, institutional shareholder holding percentage. The results show that i) an increase in investor attention negatively predicts stock returns when cumulative daily return of a stock listed on “Dragon and Tiger” list on listing day is negative; ii) Investor attention is negatively correlated with stock returns when the stock entered in “Dragon and Tiger” list experienced current cumulative monthly return is negative; iii) Investor attention is negatively correlated with stock returns when monthly cumulative net purchase amount of top 10 institution to the stock listed in “Dragon and Tiger” list is negative; iv) Investor attention is negatively correlated with stock returns when the stock listed in “Dragon and Tiger” list, the ratio of monthly cumulative trading amount of the top 10 institutional traders to total trading amount of the secondary market is in the bottom 30 percentile. These findings not only contribute to the academic research about the relationship between investor attention and stock return, but also provide some guidance to the financial regulatory agencies as to the capital market stability. |
| first_indexed | 2024-12-18T14:06:21Z |
| format | Article |
| id | doaj.art-8d3d1e04e2474b4b8af7e499de2b4c68 |
| institution | Directory Open Access Journal |
| issn | 1611-1699 2029-4433 |
| language | English |
| last_indexed | 2024-12-18T14:06:21Z |
| publishDate | 2020-05-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Journal of Business Economics and Management |
| spelling | doaj.art-8d3d1e04e2474b4b8af7e499de2b4c682022-12-21T21:05:13ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332020-05-0121310.3846/jbem.2020.11836Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in ChinaXiao-ying Zhai0Ying-ying Hou1Yuan-shun Li2Institute of Management and Decision, Shanxi University, Taiyuan, ChinaSchool of Economics, Central University of Finance and Economics, Beijing, ChinaSchool of Business, Changzhou University, Changzhou, China; Ted Rogers School of Management, Ryerson University, Toronto, CanadaUsing the “Dragon and Tiger” list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and state ownership, institutional shareholder holding percentage. The results show that i) an increase in investor attention negatively predicts stock returns when cumulative daily return of a stock listed on “Dragon and Tiger” list on listing day is negative; ii) Investor attention is negatively correlated with stock returns when the stock entered in “Dragon and Tiger” list experienced current cumulative monthly return is negative; iii) Investor attention is negatively correlated with stock returns when monthly cumulative net purchase amount of top 10 institution to the stock listed in “Dragon and Tiger” list is negative; iv) Investor attention is negatively correlated with stock returns when the stock listed in “Dragon and Tiger” list, the ratio of monthly cumulative trading amount of the top 10 institutional traders to total trading amount of the secondary market is in the bottom 30 percentile. These findings not only contribute to the academic research about the relationship between investor attention and stock return, but also provide some guidance to the financial regulatory agencies as to the capital market stability.https://journals.vgtu.lt/index.php/JBEM/article/view/11836investor attentionstock returnsnegative shocks“Dragon and Tiger” listChina |
| spellingShingle | Xiao-ying Zhai Ying-ying Hou Yuan-shun Li Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China Journal of Business Economics and Management investor attention stock returns negative shocks “Dragon and Tiger” list China |
| title | Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China |
| title_full | Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China |
| title_fullStr | Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China |
| title_full_unstemmed | Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China |
| title_short | Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China |
| title_sort | investor attention and stock returns under negative shocks an empirical analysis based on dragon and tiger list in china |
| topic | investor attention stock returns negative shocks “Dragon and Tiger” list China |
| url | https://journals.vgtu.lt/index.php/JBEM/article/view/11836 |
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