In Search of Concepts: The Effects of Speculative Demand on Stock Returns

23 Pages Posted: 6 Jun 2016

See all articles by Owain Ap Gwilym

Owain Ap Gwilym

Bangor Business School

Iftekhar Hasan

Fordham University - Gabelli School of Business; Bank of Finland

Qingwei Wang

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

Ru Xie

University of Bath, School of management

Date Written: June 2016

Abstract

Using a novel proxy of investors' speculative demand constructed from online search interest in investment concepts, we examine how speculative demand affects the returns of Chinese stocks. We find that speculative demand increases following high market returns and predicts subsequent return reversals. Moreover, the speculative demand explains more variation in subsequent returns of A shares (more populated by retail investors) than B shares (less populated by retail investors). Our findings support the recently developed attention theory.

Keywords: investment concepts, speculative demand, investor attention, market returns, trading volume

Suggested Citation

ap Gwilym, Owain and Hasan, Iftekhar and Wang, Qingwei and Xie, Ru, In Search of Concepts: The Effects of Speculative Demand on Stock Returns (June 2016). European Financial Management, Vol. 22, Issue 3, pp. 427-449, 2016. Available at SSRN: https://ssrn.com/abstract=2789886 or http://dx.doi.org/10.1111/eufm.12067

Owain Ap Gwilym (Contact Author)

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

Iftekhar Hasan

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

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

Ru Xie

University of Bath, School of management ( email )

Claverton Down
Bath, BA2 7AY
United Kingdom

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