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

Author

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  • Gwilym, Owain Ap
  • Wang, Qvigwei
  • Hasan, Iftekhar
  • Xie, Ru
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).

Suggested Citation

  • Gwilym, Owain Ap & Wang, Qvigwei & Hasan, Iftekhar & Xie, Ru, 2013. "In search of concepts: The effects of speculative demand on returns and volume," Bank of Finland Research Discussion Papers 10/2013, Bank of Finland.
    • Handle: RePEc:zbw:bofrdp:rdp2013_010
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Investor Attention; Speculative Demand; Concept Stock; Market Returns; Trading Volume;
    All these keywords.

    JEL classification:

    • G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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