Retail Investor Attention and Stock Liquidity

Rong Ding; Wenxuan Hou

doi:10.1016/j.intfin.2015.04.001

Retail Investor Attention and Stock Liquidity

Research output: Contribution to journal › Article › peer-review

Abstract

We use the search volume index (SVI) of the stock ticker provided by Google Trends to capture the active attention that retail investors pay to the S&P 500 stocks. Based on the analysis of data from 2004 to 2009, we show that the majority of the variation in SVI cannot be explained by passive attention measures, including Google News coverage and advertising expenditure. We find that retail investor attention, reflected by the level and change in SVI, significantly enlarges the shareholder base and improves stock liquidity. The results are robust to the control of selection effects with propensity score matching.

Original language	English
Pages (from-to)	12-26
Journal	Journal of International Financial Markets, Institutions and Money
Volume	37
Early online date	16 Apr 2015
DOIs	https://doi.org/10.1016/j.intfin.2015.04.001
Publication status	Published - Jul 2015

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10.1016/j.intfin.2015.04.001

Retail investor
© Ding, R., & Hou, W. (2015). Retail Investor Attention and Stock Liquidity. Journal of International Financial Markets, Institutions, and Money.
Accepted author manuscript, 1.21 MBLicence: Creative Commons: Attribution-NonCommercial-NoDerivatives (CC BY-NC-ND)

http://ssrn.com/abstract=1786762

Wenxuan Hou
- Business School - Personal Chair in Corporate Finance
- Accounting and Finance
- Corporate Finance
Person: Academic: Research Active

Cite this

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title = "Retail Investor Attention and Stock Liquidity",

abstract = "We use the search volume index (SVI) of the stock ticker provided by Google Trends to capture the active attention that retail investors pay to the S&P 500 stocks. Based on the analysis of data from 2004 to 2009, we show that the majority of the variation in SVI cannot be explained by passive attention measures, including Google News coverage and advertising expenditure. We find that retail investor attention, reflected by the level and change in SVI, significantly enlarges the shareholder base and improves stock liquidity. The results are robust to the control of selection effects with propensity score matching.",

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Retail Investor Attention and Stock Liquidity

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Wenxuan Hou

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