Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/212250 
Year of Publication: 
2013
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 10/2013
Publisher: 
Bank of Finland, Helsinki
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).
Subjects: 
Investor Attention
Speculative Demand
Concept Stock
Market Returns
Trading Volume
JEL: 
G02
G12
G14
Persistent Identifier of the first edition: 
ISBN: 
978-952-6699-13-4
Document Type: 
Working Paper

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