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Investor Attention, Market Liquidity and Stock Return: A New Perspective

Author

Listed:
  • Bin Wang
  • Wen Long
  • Xianhua Wei

Abstract

We propose a new method to measure the investor attention paid to a specific industry using search data from search engine. Instead of taking company names or stock codes as keywords, we select keywords from a corpus of texts concerning a given industry by text-analysis technique such as TextRank algorithm. Two indices were constructed by principal component analysis method, including a positive index and a negative index. The empirical analysis demonstrates that the influence of investor attention on market liquidity is coincident and significant, and the effect on industry stock index return is less significant.

Suggested Citation

  • Bin Wang & Wen Long & Xianhua Wei, 2018. "Investor Attention, Market Liquidity and Stock Return: A New Perspective," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 8(3), pages 341-352.
    • Handle: RePEc:asi:aeafrj:v:8:y:2018:i:3:p:341-352:id:1678
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    Citations

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    Cited by:

    1. Weihan Zhao & Jianing Zhang, 2024. "Investor Attention and Stock Liquidity in the Chinese Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 30(1), pages 65-82, February.
    2. Damien KUNJAL, 2023. "The Role of Investor Attention in ETF Liquidity," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(2), pages 45-64.
    3. Cheng, Feiyang & Chiao, Chaoshin & Wang, Chunfeng & Fang, Zhenming & Yao, Shouyu, 2021. "Does retail investor attention improve stock liquidity? A dynamic perspective," Economic Modelling, Elsevier, vol. 94(C), pages 170-183.
    4. Zhibing Li & Jie Liu & Xiaoyu Liu & Chonglin Wu, 2024. "Investor attention and stock price efficiency: Evidence from quasi‐natural experiments in China," Financial Management, Financial Management Association International, vol. 53(1), pages 175-225, March.
    5. C. N. V. Krishnan & Minghao Wu, 2022. "The Methodology Matters: What Influences Market Reaction, and Post-Issue Returns in Seasoned Equity Offerings?," JRFM, MDPI, vol. 15(10), pages 1-22, October.

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