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

Ap Gwilym, Owain; Hasan, Iftekhar; Wang, Qingwei; Xie, Ru

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

Bank of Finland Research Discussion Paper No. 10/2013

Gabelli School of Business, Fordham University Research Paper No. 2856938

38 Pages Posted: 21 Oct 2016

See all articles by Owain Ap Gwilym

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

There are 3 versions of this paper

Date Written: May 27, 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: G02, G12, G14

JEL Classification: G02, G12, G14

Suggested Citation: Suggested Citation

ap Gwilym, Owain and Hasan, Iftekhar and Wang, Qingwei and Xie, Ru, In Search of Concepts: The Effects of Speculative Demand on Returns and Volume (May 27, 2013). Bank of Finland Research Discussion Paper No. 10/2013; Gabelli School of Business, Fordham University Research Paper No. 2856938. Available at SSRN: https://ssrn.com/abstract=2856938