Investor Attention and Stock Price Movement

Cheng, Chiao-Ming; Huang, Alex YiHou; Hu, Ming-Che

doi:10.1080/15427560.2018.1513404

Cited by 11 publications

(3 citation statements)

References 27 publications

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“…Generally, a spike in GSV is associated with a contemporaneous market response that is subsequently reversed (Da et al, 2011(Da et al, , 2015Tang and Zhu, 2017;Heyman et al, 2019;Smales, 2020) unless new information is forthcoming (Cheng et al, 2019). Vozlyublennaia (2014) argues that this response to investor attention improves market efficiency by making markets less predictable.…”

Section: Introductionmentioning

confidence: 99%

Investor attention and the response of US stock market sectors to the COVID-19 crisis

Smales

2020

RBF

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PurposeCOVID-19 has had an immense impact on global stock markets, with no sector escaping its effects. Investor attention towards COVID-19 surged as the virus spread, the number of cases grew and its consequences imposed on everyday life. We assess whether this increase in investor attention may explain stock returns across different sectors during this unusual period.Design/methodology/approachWe adopt the methodology of Da et al. (2015), using Google search volume (GSV) as a proxy for investor attention to examine the relationship between investor attention and stock returns across 11 sectors.FindingsOur results demonstrate that heightened attention towards COVID-19 negatively influences US stock returns. However, relatively speaking, some sectors appear to have gained from the increased attention. This outperformance is centred in the sectors most likely to benefit (or likely to lose least) from the crisis and associated spending by households and government (i.e. consumer staples, healthcare and IT). Such results may be explained by an information discovery hypothesis in the sense that investors are searching online for information to enable a greater understanding of COVID-19's impact on relative stock sector performance.Originality/valueWhile we do not claim that investor attention is the only driver of stock returns during this unique period, we do provide evidence that it contributes to the market impact and to the heterogeneity of returns across stock market sectors.

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Section: Introductionmentioning

confidence: 99%

Investor attention and the response of US stock market sectors to the COVID-19 crisis

Smales

2020

RBF

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“…It is expected that households’ fear associated with COVID-19 usually exerts negative shocks to stock market followed by return reversal. Such reversal is supported by Tang and Zhu (2017) and Cheng et al (2019) . I investigate this pattern by applying Eq.…”

Section: Methodsmentioning

confidence: 72%

The sum of all SCARES COVID-19 sentiment and asset return

Hasan

2022

The Quarterly Review of Economics and Finance

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“…To the best of our knowledge, there has not been momentum research throwing light on the effect of investor anxiety. A series of studies dissect the effect of negative investor sentiment or disposable panic (e.g., [1][2][3][4][5][6][7][8][9][10][11][12][13][14][15]). Although their endeavors on these topics have deepened our insights into the stock market, they do not directly detect the effect of anxiety.…”

Section: Introductionmentioning

confidence: 99%

An Anecdote of Investor Anxiety and Momentum in China

Lin

Huang³

et al. 2020

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We show the effect of investor anxiety on momentum in the Chinese stock market. In this market dominated by retail investors, we examine the momentum profits in 900 types of daily testing periods. We find prevalent price reversals in the long formation and holding periods in the Chinese A-share market. Compared to Goyal and Wahal (2015), Wang and Xie (2010), and Kang et al. (2002) who found no momentum, our novel finding from a daily basis is that the A-share market presents price momentum within the short formation and holding periods. We first test the momentum profits under different strengths of anxiety in the A-share market. The stocks held by the least anxious investors elicit the strongest price momentum, whereas the stocks held by the most anxious investors encounter much weaker price momentum in the A-share market. According to our empirical outcomes, the A-share market overall exhibits higher anxiety and weaker momentum, whereas the B-share market embodies milder anxiety and stronger momentum. From the results of single market and cross-market comparisons, the intrinsic anxiety of retail investors is an essential factor stimulating the Chinese stock market to be prone to price reversals.

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Investor Attention and Stock Price Movement

Cited by 11 publications

References 27 publications

Investor attention and the response of US stock market sectors to the COVID-19 crisis

Investor attention and the response of US stock market sectors to the COVID-19 crisis

The sum of all SCARES COVID-19 sentiment and asset return

An Anecdote of Investor Anxiety and Momentum in China

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