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

38 Pages Posted: 21 Oct 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

Multiple version iconThere 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

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

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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