Financial Attention Frequency and Trading

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