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论文类型：期刊论文

发表时间：2014-11-01

发表刊物：EMERGING MARKETS FINANCE AND TRADE

收录刊物：SSCI

卷号：50

页面范围：158-183

ISSN号：1540-496X

关键字：abnormal volume; account information; attention-grabbing stocks; extreme returns; heterogeneous trading behavior

摘要：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.