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Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market
16 references·1 citing·44 second hopsampled
Internet attention and information asymmetry: Evidence from Qihoo 360 search data on the Chinese stock market (2018)Internet attention and information asymme…Can Internet Search Queries Help to Predict Stock Market Volatility? (2015)Can Internet Search Queries H…Investor attention, index performance, and return predictability (2014)Investor attention, index per…Testing for Granger non-causality in heterogeneous panels (2012)Testing for Granger non-causa…Information demand and stock market volatility (2012)Information demand and stock …In Search of Attention (2011)In Search of AttentionMedia Coverage and the Cross‐section of Stock Returns (2009)Media Coverage and the Cross‐…Why is PIN priced?☆ (2008)Why is PIN priced?☆All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum (2007)A Tale of Two Anomalies: The …Stock price reaction to public and private information (2006)Stock price reaction to publi…Advertising, Breadth of Ownership, and Liquidity (2003)Advertising, Breadth of Owner…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…The Impact of Public Information on the Stock Market (1994)The Impact of Public Informat…The Summary Informativeness of Stock Trades: An Econometric Analysis (1991)The Summary Informativeness o…Measuring the Information Content of Stock Trades (1991)Measuring the Information Con…A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility (2019)A novel UMIDAS-SVQR model wit…The Behavior of Stock-Market Prices (1965)Stock return variances (1986)Market liquidity and volume around earnings announcements (1994)Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)COVID-19: Media coverage and financial markets behavior—A sectoral inquiry (2020)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Testing for unit roots in heterogeneous panels (2003)A simple panel unit root test in the presence of cross‐section dependence (2007)The effect of renewable energy consumption on economic growth: Evidence from top 38 countries (2015)Investigation of environmental Kuznets curve for ecological footprint: The role of energy and financial development (2018)Toward a sustainable environment: Nexus between CO2 emissions, resource rent, renewable and nonrenewable energy in 16-EU countries (2018)Trends and random walks in macroeconmic time series (1982)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement (1993)Liquidity Provision with Limit Orders and a Strategic Specialist (1997)Evaporating Liquidity (2012)A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)Price, trade size, and information in securities markets (1987)Dealer versus auction markets: A paired comparison of execution costs on NASDAQ and the NYSE (1996)Market microstructure: A survey (2000)Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk (2005)Asset pricing and the bid-ask spread (1986)Liquidity and stock returns: An alternative test (1998)The theory and practice of econometrics (1986)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Does Algorithmic Trading Improve Liquidity? (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)Prospect theory: An analysis of decision under risk (1988)On Persistence in Mutual Fund Performance (1997)Who Gambles in the Stock Market? (2009)Prospect Theory: An Analysis of Decision under Risk (1979)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Don't Believe the Hype: Local Media Slant, Local Advertising, and Firm Value (2012)Investor Relations, Firm Visibility, and Investor Following (2012)It Depends on Where You Search: Institutional Investor Attention and Underreaction to News (2017)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)… and the Cross-Section of Expected Returns (2015)
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References

  • 2012Testing for Granger non-causality in heterogeneous panels5,911 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 2011In Search of Attention3,088 cited
  • 2009Media Coverage and the Cross‐section of Stock Returns1,967 cited
  • 1991Measuring the Information Content of Stock Trades1,868 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 2003Advertising, Breadth of Ownership, and Liquidity839 cited
  • 1994The Impact of Public Information on the Stock Market549 cited
  • 1991The Summary Informativeness of Stock Trades: An Econometric Analysis537 cited
  • 2012Information demand and stock market volatility528 cited
  • 2006Stock price reaction to public and private information439 cited
  • 2014Investor attention, index performance, and return predictability391 cited
  • 2008Why is PIN priced?☆377 cited
  • 2015Can Internet Search Queries Help to Predict Stock Market Volatility?350 cited
  • 2007

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A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum
327 cited

Cited by

  • 2019A novel UMIDAS-SVQR model with mixed frequency investor sentiment for predicting stock market volatility31 cited