Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China

    Xiao-ying Zhai Affiliation
    ; Ying-ying Hou Affiliation
    ; Yuan-shun Li Affiliation


Using the “Dragon and Tiger” list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and state ownership, institutional shareholder holding percentage. The results show that i) an increase in investor attention negatively predicts stock returns when cumulative daily return of a stock listed on “Dragon and Tiger” list on listing day is negative; ii) Investor attention is negatively correlated with stock returns when the stock entered in “Dragon and Tiger” list experienced current cumulative monthly return is negative; iii) Investor attention is negatively correlated with stock returns when monthly cumulative net purchase amount of top 10 institution to the stock listed in “Dragon and Tiger” list is negative; iv) Investor attention is negatively correlated with stock returns when the stock listed in “Dragon and Tiger” list, the ratio of monthly cumulative trading amount of the top 10 institutional traders to total trading amount of the secondary market is in the bottom 30 percentile. These findings not only contribute to the academic research about the relationship between investor attention and stock return, but also provide some guidance to the financial regulatory agencies as to the capital market stability.

Keyword : investor attention, stock returns, negative shocks, “Dragon and Tiger” list, China

How to Cite
Zhai, X.- ying, Hou, Y.- ying, & Li, Y.- shun. (2020). Investor attention and stock returns under negative shocks: an empirical analysis based on “Dragon and Tiger” list in China. Journal of Business Economics and Management, 21(3), 914-941.
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May 12, 2020
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This work is licensed under a Creative Commons Attribution 4.0 International License.


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