The Effect of Attention on Buying Behavior During a Financial Crisis: Evidence from the Taiwan Stock Exchange

38 Pages Posted: 27 Mar 2010 Last revised: 24 Aug 2010

See all articles by Hsin-Yi Yu

Hsin-Yi Yu

University of Edinburgh - Organisation Studies; National University of Kaohsiung; University of Edinburgh - Accounting and Finance

Shu-Fan Hsieh

National Kaohsiung First University of Science & Technology

Date Written: March 23, 2010

Abstract

We confirm that investors in different categories have different trading patterns caused by attention-grabbing factors. Stocks with extreme one-day returns catch the attention of both individual and institutional investors. Individual investors are net buyers of losers whereas institutional investors are net buyers of winners. Unlike institutional investors, individual investors also regard volume as a conditional attention-grabbing factor. We also find that attention-driven buying behavior is mitigated by the financial crisis of 2007, which indicates that the buying behavior of investors is less emotional during a period of financial crisis.

Keywords: Trading volume, Buy-sell imbalance, Financial crisis

Suggested Citation

Yu, Hsin-Yi and Hsieh, Shu-Fan, The Effect of Attention on Buying Behavior During a Financial Crisis: Evidence from the Taiwan Stock Exchange (March 23, 2010). International Review of Financial Analysis, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1577030

Hsin-Yi Yu (Contact Author)

University of Edinburgh - Organisation Studies ( email )

50 George Square
William Robertson Building
Edinburgh EH8 9JY
UNITED KINGDOM

National University of Kaohsiung ( email )

Kaohsiung, 803
Taiwan

University of Edinburgh - Accounting and Finance ( email )

William Robertson Building
Edinburgh EH8 9JY
United Kingdom

Shu-Fan Hsieh

National Kaohsiung First University of Science & Technology ( email )

2 Jhuoyue Rd.
Nanzih
Kaohsiung City, Taiwan 811
Taiwan

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