The purpose of this paper is to examine the dynamic relationship between retail investor
attention and stock liquidity. Using high-frequency data for China's stock market, we find that …

Limited attention is an inevitable outcome of voluminous information. Investors facing a large
number of stocks can only focus on a few and endeavor to have access to in-depth …

This paper explores relationships between investor attention and various market variables–
return, volatility, and trading volume from selected Asia-Pacific equity markets. Unlike most …

In this paper, we examine the influence of the daily institutional investor attention to
particular stocks on stock volatility and liquidity. The institutional investor attention is …

Using the panel vector autoregression (VAR) method, this paper documents relationships
between investor attention and stock market activities; ie, return, volatility, and trading …

This paper analyzes how a stock's liquidity, turnover, volatility and returns are driven by short
term fluctuations in investor attention. Attention-grabbing stocks are identified by their daily …

We use the search volume index (SVI) of the stock ticker provided by Google Trends to
capture the active attention that retail investors pay to stocks. Based on the analysis of S&P …

We provide novel evidence that aggregate investor attention to stocks predicts marketwide
returns, but with a striking difference across investor clienteles. Daily aggregate retail …

Using a search frequency index from Baidu. com as a measure of investor attention, we find
that investor attention has a significant and positive effect on the stock return within a week …

The aim of this paper is to study the influence of investor attention on the French stock
market activity and volatility. Following an original way, we construct a non-standard proxy of …