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Retail Investor Attention and Stock Liquidity

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    Rights statement: © Ding, R., & Hou, W. (2015). Retail Investor Attention and Stock Liquidity. Journal of International Financial Markets, Institutions, and Money.

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    Licence: Creative Commons: Attribution-NonCommercial-NoDerivatives (CC BY-NC-ND)

Original languageEnglish
Pages (from-to)12-26
JournalJournal of International Financial Markets, Institutions & Money
Early online date16 Apr 2015
Publication statusPublished - Jul 2015


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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