Volume 8, Issue 1, February 2020, Page: 57-62
Research on the Relationship Between FinTech Attention and Its Sector Returns
Jiangjiao Duan, Business School, University of Shanghai for Science and Technology, Shanghai, China
Jiqing Liu, Business School, University of Shanghai for Science and Technology, Shanghai, China
Qian Chen, Business School, University of Shanghai for Science and Technology, Shanghai, China
Received: Apr. 14, 2020;       Published: May 27, 2020
DOI: 10.11648/j.ijefm.20200801.17      View  66      Downloads  60
Abstract
With the development and application of Internet technology, investors usually use Internet search engine to investigate the corporation and related information before making investment decision. As a result, Internet search engine has become an indicator of investors’ attention. This paper uses FinTech Baidu index derived from Baidu public platform to measure investors' attention, as well as FinTech index from Shenzhen stock exchange, whose index code is 399699. SZ. The index data covers a date range from June 9, 2017 to June 30, 2019. Empirically, this paper discusses the impact of online attention on the stock returns of financial science and technology sector. A vector auto-regressive (VAR) model is built to reveal the correlation between Fintech investor attention and its sector returns. Furthermore, the granger causality, impulse response and variance decomposition are analyzed. Granger causality test result indicates that FinTech investor attention is the granger cause of the stock returns of Fintech sector, and conversely the stock returns of Fintech sector are not the cause of FinTech investor attention. That is, FinTech online attention has a certain impact on the stock returns of Fintech sector. Impulse response indicates that the impact of FinTech online attention is positive, but the effect lasts in a short term. The conclusions play an important role for investors to understand the hotspot attention on FinTech which is a new emerging market investment opportunity, and provide a general knowledge about the relation between Fintech attention and market returns.
Keywords
Investor Attention, Internet Search, FinTech, Index Return
To cite this article
Jiangjiao Duan, Jiqing Liu, Qian Chen, Research on the Relationship Between FinTech Attention and Its Sector Returns, International Journal of Economics, Finance and Management Sciences. Vol. 8, No. 1, 2020, pp. 57-62. doi: 10.11648/j.ijefm.20200801.17
Copyright
Copyright © 2020 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Reference
[1]
Barber B. M., Odean T. All That Glitters: the Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors [J]. Reviews of Financial Studies, 2008, 21 (2), pp. 785 -818.
[2]
Da Z., Engelberg J., Gao P., In Search of Attention [J]. Journal of Finance, 2011, 66 (5), pp. 1461-1499.
[3]
Chemmanur T. J., Yan A. Advertising, Investor Recognition, and Stock Returns [J]. Social Science Electronic Publishing, 2010.
[4]
Peress J., Fisk W., Tatikonda S. Media coverage and investors' attention to earnings announcements [J]. Social Science Electronic Publishing, 2008.
[5]
Hirshleifer D, Teoh S H. Limited Attention, Information Disclosure, and Financial Reporting [J]. Journal of Accounting and Economics, 2003, 36, pp. 337-386.
[6]
Bank, M., M. Larch, and G. Peter. Google search volume and its influence on liquidity and returns of German stocks [J]. Financial Markets and Portfolio Management, 2011: pp. 1-26.
[7]
Dimpfl T., Jank S. Can Internet Search Queries Help to Predict Stock Market Volatility? https://papers.ssrn.com/,2012.
[8]
PreisT., D. Reith, and H. E. Stanley, Complex dynamics of our economic life on different scales: insights from search engine query data [J]. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences, 2010. 368 (1933), pp. 5707-5719.
[9]
Bukovina J. Social media big data and capital markets-An overview. Journal of Behavioral and Experimental Finance., 2016 (11): pp. 18-26
[10]
Wang Xiaoyan, Chen Xiaofan, Hu Debao. The relationship of artificial intelligence network hot search and its concept stock price [J]. Southern Finance (in Chinese), 2017 (8), pp. 42-53.
[11]
Hu Changsheng, Xia Fanjie. Investor attention, unpopular stock effect and stock return. Finance economics research (in Chinese), 2016 (6).
[12]
Wang Yong, Yang Qingyun. The influence of China internet attention on stock returns based on Hexun attention [J]. Investment Research (in Chinese), 2014 (2).
[13]
Jia Chunxin, Zhao Yu, Sun meng. Limited attention of investors and lifting the ban on restricted shares [J]. Journal of Financial Research (in Chinese), 2010 (11): 108-122.
[14]
Song Shuangjie, Cao Hui, Yang Kun. Investors' attention and IPO anomalies: Empirical Evidence from Internet search volume [J]. Journal of Economic Research (in Chinese), 2011 (s1): 145-155.
[15]
Yu Qingjin, Zhang Bing. Limited attention of investors and Stock Returns: An Empirical Study on Baidu Index [J]. Journal of Financial Research (in Chinese), 2012 (8): 152-165.
[16]
Duan Jiangjiao, Liu Hongzhong, Zeng Jianping. Analysis on the Information Content of China’s Internet Stock Message Boards [J]. Journal of Financial Research (in Chinese), 2017 (10), pp. 178-192
Browse journals by subject