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Indexed by:期刊论文

Date of Publication:2014-11-01

Journal:EMERGING MARKETS FINANCE AND TRADE

Included Journals:SSCI

Volume:50

Page Number:158-183

ISSN No.:1540-496X

Key Words:abnormal volume; account information; attention-grabbing stocks; extreme returns; heterogeneous trading behavior

Abstract:Using a unique and comprehensive data set of China's Shenzhen Stock Exchange, we test whether all investors adopt attention-grabbing stocks. Only the less-wealthy individuals, the Small Group, are found to have the tendency to pursue attention-grabbing stocks, such as abnormal-volume stocks, extreme-return stocks, and initial public offering stocks. By contrast, wealthy individuals, such as the Middle and Large Groups, are the sellers of attention-grabbing stocks and prefer non-attention-grabbing stocks, thereby exhibiting a behavior resembling that of institutional investors. The wealth levels of individual investors may account for such heterogeneous trading behavior. Heterogeneous trading behavior may address one reason why only the less-wealthy individuals do poorly in China's stock market. Accordingly, we suggest that the Small Group manage the stock selection problem through consultancy with investment institutions.