Research Discussion Papers, Bank of Finland
No 10/2013:
In search of concepts: The effects of speculative demand on returns and volume
Owain ap Gwilym ()
, Qingwei Wang ()
, Iftekhar Hasan ()
and Ru Xie ()
Abstract: Using a novel proxy of investors’ speculative demand
constructed from online search interest in “concept stocks”, we examine how
speculative demand affects the returns and trading volume of Chinese stock
indices. We find that returns and trading volume increase with the
contemporaneous speculative demand. In addition, the high speculative
demand causes lower near future returns, while recent high past returns
cause the high speculative demand. Moreover, the speculative demand
explains more variation in returns and trading volume of A shares (more
populated by retail investors) than B shares (less populated by retail
investors). Our findings support the attention theory of Barber and Odean
(2008).
Keywords: investor attention; speculative demand; concept stock; market returns; trading volume; (follow links to similar papers)
JEL-Codes: G02; G12; G14; (follow links to similar papers)
35 pages, May 28, 2013
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