In search of concepts : The effects of speculative demand on returns and volume

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Title: In search of concepts : The effects of speculative demand on returns and volume
ISBN: 978-952-6699-13-4
Author: Gwilym, Owain Ap ; Wang, Qvigwei ; Hasan, Iftekhar ; Xie, Ru
Organization: Bank of Finland
Series: Bank of Finland Research Discussion Papers
ISSN: 1456-6184
Series year: 2013
Series number: 10/2013
Year of publication: 2013
Publication date: 27.5.2013
Published in: Published in European Financial Management, Volume 22, Issue 3, 1 June 2016: 427-449
Pages: 38 s.
Keywords: osakkeet; kaupankäynti; tuotot; sijoittajat; Kiina; kysyntä; Bofit-kokoelma; spekulaatiot
JEL: G02; G12; G14
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

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