Retail investor attention and the limit order book: Intraday analysis of attention-based trading
نویسندگان
چکیده
We are the first to examine how intraday changes in retail investor attention, measured by hourly Google searches, affect trading activity and informativeness of trades. High levels search followed next hour more intensive all stocks. The increased is initiated investors as evidenced reduced size new orders. After googling a company, do not become informed traditional sense; rather, they act noise traders, who mistake for information, their orders picked off truly traders.
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2022
ISSN: ['1873-8079', '1057-5219']
DOI: https://doi.org/10.1016/j.irfa.2020.101627