Download This PaperIn 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
There are 3 versions of this paper
In Search of Concepts: The Effects of Speculative Demand on Returns and Volume
In Search of Concepts: The Effects of Speculative Demand on Returns and Volume
In Search of Concepts: The Effects of Speculative Demand on Returns and Volume
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
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