Financial Attention Frequency and Trading

59 Pages Posted: 7 Sep 2019

See all articles by Wenwu Cai

Wenwu Cai

Chongqing University - School of Economy and Business Administration

Jing Lu

Chongqing University - School of Economics and Business Administration

Date Written: September 4, 2019

Abstract

Based on daily users’ behavior data from securities service mobile applications (SSM-APPs), we measure investor financial attention frequency, which reflects how often investors use SSM-APPs to obtain information from the two dimensions, namely, startup frequency and online length. We find that the financial attention frequency shows an obvious ostrich effect, suggesting that investors acquire financial information less frequently following previous lower market returns and higher volatility. In addition, financial attention frequency significantly promotes market trading activity. And this driving effect still remains in a series of robustness tests with controlling more market factors, such as investor attention and sentiment, and after addressing some endogeneity concerns. Finally, the financial attention frequency also increases individuals’ net buying transactions.

Keywords: Securities Service Mobile Applications (SSM-APPs); Financial Attention Frequency; Ostrich Effect; Trading

JEL Classification: G12; G14

Suggested Citation

Cai, Wenwu and Lu, Jing, Financial Attention Frequency and Trading (September 4, 2019). Available at SSRN: https://ssrn.com/abstract=3447903 or http://dx.doi.org/10.2139/ssrn.3447903

Wenwu Cai (Contact Author)

Chongqing University - School of Economy and Business Administration ( email )

No.174 Shazhengjie
Shapingba
Chongqing, Chongqing 400044
China

Jing Lu

Chongqing University - School of Economics and Business Administration ( email )

Shapingba
Chongqing, 400030
China

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