Does retail investor attention improve stock liquidity? A dynamic perspective

Cheng, Feiyang; Chiao, Chaoshin; Wang, Chunfeng; Zhen-ming, Fang; Yao, Shouyu

doi:10.1016/j.econmod.2020.10.001

Cited by 57 publications

(9 citation statements)

References 74 publications

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“…Gerace et al ( 2015 ) find that the dissemination of indicative trade information during pre-open call auction sessions improves stock liquidity in a continuous trading session in China. Cheng et al ( 2021 ) find that retail investor attention has a significantly positive short-term effect on future stock liquidity, and this effect will persist in the long-term future. Ding et al ( 2017 ) study the effect of institutional ownership on stock liquidity from real and information friction perspectives.…”

Section: Related Literature Reviewmentioning

confidence: 99%

“…Information demand and supply are the new determinants of stock liquidity. They have been studied in the form of investor attention, media coverage, and episodes of sensational news exogenous to the market (Aouadi et al, 2018 ; Peress and Schmidt, 2020 ; Shyu et al, 2020 ; Cheng et al, 2021 ). Market structure reforms, such as state ownership transformation and tick size pilot programs, are still popular determinants of stock liquidity (Boubakri et al, 2020 ; Chung et al, 2020 ).…”

Section: Introductionmentioning

confidence: 99%

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Predictive and Contemporaneous Power of the Determinants of Stock Liquidity

Xie

Jin

2022

Front. Psychol.

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This study constructs nine (five) idiosyncratic (systematic) variables to test the predictive and contemporaneous power of the determinants of stock liquidity. We select A shares from January 2003 to September 2021 to study stock liquidity in the Chinese market. As a novel discovery, this study finds that stock liquidity abnormally decreases with contemporaneous idiosyncratic return and also with 1-year lagged systematic return. Only the idiosyncratic return variance can decrease future short-term or contemporaneous stock liquidity. Idiosyncratic factors are more important than systematic ones for contemporaneous and future stock liquidity. The predictive power of the determinants decreases with the forecast length. Economic policy uncertainty (EPU) can affect sensitivity of stock liquidity to contemporaneous determinants. The empirical results of this research are robust over subperiods, forecast length and across four liquidity measurements. The abnormalities and linkages between determinants and stock liquidity are correlated with investor psychology and special market mechanism in China.

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Section: Related Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Predictive and Contemporaneous Power of the Determinants of Stock Liquidity

Xie

Jin

2022

Front. Psychol.

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“…A consensus is that abnormal attention significantly improves stock liquidity (Adachi et al, 2017;Takeda & Wakao, 2014). However, Cheng et al (2021a) document that the impact of retail investors' abnormal attention on stock liquidity improvement gradually weakens and even reverses in the long run. For stocks that generate an unusual increase in investor attention, investors buy far more than sell, resulting in mismatched orders and reducing the asset liquidity.…”

Section: Introductionmentioning

confidence: 99%

Investor attention and cryptocurrency market liquidity: a double-edged sword

et al. 2022

Self Cite

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This paper explores the double-edged sword effect of investor attention on market liquidity. Based on the analysis on 597 cryptocurrencies from 2014 to 2020, our findings show that static investor attention improves cryptocurrency market liquidity over the next three months by attracting more investors into the market and stimulating buy and sell transactions. By contrast, abnormal attention persistently and negatively affects the liquidity and leads to excessive net buying pressure in the market and a crowded buyers' market, resulting in a sharp deterioration of liquidity. Moreover, these effects intensify during low global economic policy uncertainty periods and for cryptocurrencies with small market capitalization and low idiosyncratic volatility. Overall, our results have important implications for investors, portfolio managers, and policymakers.

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“…Although there are financial technology companies, called Fintechs, that offer portfolio management methods for these small investors, the services provided by the Fintechs are usually quite expensive. Therefore, the small investors are increasingly seeking their own investment strategies [10], reducing their dependence on a Fintech or a bank in their applications on the market. However, the retail investor has significantly fewer tools than a large financial institution.…”

Section: Introductionmentioning

confidence: 99%

Applying LSTM for Stock Price Prediction with Sentiment Analysis

Heiden¹,

Parpinelli²

2021

Anais Do 15. Congresso Brasileiro De Inteligência Computacional

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Financial news has been proven to be valuable source of information for the evaluation of stock market volatility. Most of the attention has been given to social media platforms, while news from vehicles such as newspapers are not as widely explored. Newspapers provide, although in a smaller volume, more reliable information than social media platforms. In this context, this research aims to examine the influence of financial news within the stock price prediction problem, by using the VADER sentiment analysis model to process the news and feed the sentiments as a feature into a LSTM-based stock price prediction model, along with the historical data of the assets. Experiments indicate that the model has better results when the news’ sentiments are considered, and the model demonstrates potential to accurately predict stock prices up to around 60 days into the future.

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Does retail investor attention improve stock liquidity? A dynamic perspective

Cited by 57 publications

References 74 publications

Predictive and Contemporaneous Power of the Determinants of Stock Liquidity

Predictive and Contemporaneous Power of the Determinants of Stock Liquidity

Investor attention and cryptocurrency market liquidity: a double-edged sword

Applying LSTM for Stock Price Prediction with Sentiment Analysis

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