In Search of Concepts: The Effects of Speculative Demand on Returns and Volume

38 Pages Posted: 10 Jul 2013

See all articles by Owain Ap Gwilym

Owain Ap Gwilym

Bangor Business School

Qingwei Wang

Cardiff University - Cardiff Business School; ZEW – Leibniz Centre for European Economic Research

Iftekhar Hasan

Fordham University - Gabelli School of Business; Bank of Finland

Ru Xie

University of Bath, School of management

Multiple version iconThere are 3 versions of this paper

Date Written: May 28, 2013

Abstract

Using a novel proxy of investors’ speculative demand constructed from online search interest in “concept stocks”, we examine how speculative demand affects the returns and trading volume of Chinese stock indices. We find that returns and trading volume increase with the contemporaneous speculative demand. In addition, the high speculative demand causes lower near future returns, while recent high past returns cause the high speculative demand. Moreover, the speculative demand explains more variation in returns and trading volume of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the attention theory of Barber and Odean (2008).

Keywords: investor attention, speculative demand, concept stock, market returns, trading volume

JEL Classification: G02, G12, G14

Suggested Citation

ap Gwilym, Owain and Wang, Qingwei and Hasan, Iftekhar and Xie, Ru, In Search of Concepts: The Effects of Speculative Demand on Returns and Volume (May 28, 2013). Bank of Finland Research Discussion Paper No. 10/2013. Available at SSRN: https://ssrn.com/abstract=2291837 or http://dx.doi.org/10.2139/ssrn.2291837

Owain Ap Gwilym

Bangor Business School ( email )

Bangor Business School
College Road
Gwynedd LL57 2DG, Wales LL57 2DG
United Kingdom

HOME PAGE: http://www.bangor.ac.uk/business/staff/owain_ap_gwilym.php.en

Qingwei Wang

Cardiff University - Cardiff Business School ( email )

Aberconway Building
Colum Drive
Cardiff, CF10 3EU
United Kingdom

ZEW – Leibniz Centre for European Economic Research ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

Iftekhar Hasan (Contact Author)

Fordham University - Gabelli School of Business ( email )

Rose Hill Campus Bronx
New York, NY 10458
United States

Bank of Finland ( email )

P.O. Box 160
Helsinki 00101
Finland

Ru Xie

University of Bath, School of management ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

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