|
|
|
| The Effect of Local Bias in Investor Attention and Investor Sentiment onStock Markets:Evidence from Online Forum |
| YANG Xiaolan, SHEN Hanbin, ZHU Yu
|
| Zhejiang University |
|
|
|
|
Abstract In this paper, we test the cross effect of local bias and investor sentiment on stock markets. Text messages posted by investors are downloaded from an online stock forum in China. We build the Investor Sentiment Index based on the message content and the Local Bias Index based on their IP address. The empirical results show that the effect of Local Bias Index on stock market depends on the investor sentiment. As the investor sentiment is positive (negative), there is a positive (negative) effect of local bias on the relevant stock return. Besides, local bias positively affect stock trading volume and this effect is greater as the investors are optimistic than as they are pessimistic. Besides, the cross effects of local bias and sentiment on stock market are similar across five different regions with more than 20 list firms each. However, these effects are not significant and consistent in regions with less list firms.
|
|
Received: 03 July 2014
Published: 01 January 1900
|
|
|
|
|
| [1] |
董大勇和肖作平,2011,《证券信息交流家乡偏误及其对股票价格的影响: 来自股票论坛的证据》,《管理世界》第1期,第52~61页。
|
| [3] |
金雪军,祝宇和杨晓兰,2013,《网络媒体对股票市场的影响——以东方财富网股吧为例的实证研究》,《新闻与传播研究》第12期,第36~51页。
|
|
赵静梅,吴风云和罗梅,2012,《投资决策中地区偏好与地区规避的实证研究》,《投资研究》第1期,第123~141页。
|
| [4] |
Antweiler, W. and Frank M. Z. 2004. “Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards, ” The Journal of Finance, 59(3): 1259~1294.
|
| [5] |
Barber, Brad M., and Terrance Odean. 2008. “All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors, ” Review of Financial Studies, 21(2): 785~818.
|
| [6] |
Bollen, J, Mao HN, and Zeng XJ. 2010. “Twitter Mood Predicts the Stock Market, ”Journal of Computational Science, 2(1): 1~8.
|
| [7] |
Coval, J DandMoskowitz T J. 1999. “ Home Bias at Home: Local Equity Preference in Domestic Portfolios, ”The Journal of Finance, 54(6): 2045~2073.
|
| [8] |
Fang, L. , and J. Peress., 2009. “Media Coverage and the Cross‐section of Stock Returns, ” The Journal of Finance, 64(5):2023~2052.
|
| [9] |
Fisher, K. L., & Statman, M. 2003. “ Consumer Confidence and Stock Returns, ” The Journal of Portfolio Management, 30(1):115~127.
|
| [10] |
French, K. R., & Poterba, J. M. 1991. “Investor Diversification and International Equity Markets, ”The American Economic Review,81(2):222~226.
|
| [11] |
Huang, Y., H. Qiu,and Z. Wu. 2016. “Local Bias of Investor Attention: Evidence from China’s Internet Stock Message Boards,” Journal of Empirical Finance,38,338~354.
|
| [12] |
Lou, D.2014. “Attracting Investor Attention through Advertising, ” Review of financial Studies, 27(6):1797~1829.
|
| [13] |
Peng, L., and W. Xiong. 2006. “Investor Attention, Overconfidence And Category Learning, ” Journal of Financial Economics, 80(3):563~602.
|
| [14] |
Seasholes, M S and Zhu N. 2010. “Individual Investors and Local Bias,”The Journal of Finance, 65(5):1987~2010.
|
| [15] |
Seasholes, M. S., and Wu, G. 2007. “Predictable Behavior, Profits, and Attention, ” Journal of Empirical Finance, 14(5): 590~610.
|
| [16] |
Solnik, B., 2008. “Equity home bias and regret: an international equilibrium model, ” SSRN working paper.
|
|
|
|
