TY - JOUR
T1 - Retail investor attention and the limit order book
T2 - Intraday analysis of attention-based trading
AU - Meshcheryakov, Artem
AU - Winters, Drew B.
N1 - Publisher Copyright:
© 2021 The Authors
PY - 2022/5
Y1 - 2022/5
N2 - 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 of Google search activity are followed in the next hour by more intensive trading in all stocks. The increased trading activity is initiated by retail investors as evidenced by the reduced size of new orders. After googling a company, retail investors do not become informed in the traditional sense; rather, they act as noise traders, who mistake noise for information, as their orders are picked off by truly informed traders.
AB - 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 of Google search activity are followed in the next hour by more intensive trading in all stocks. The increased trading activity is initiated by retail investors as evidenced by the reduced size of new orders. After googling a company, retail investors do not become informed in the traditional sense; rather, they act as noise traders, who mistake noise for information, as their orders are picked off by truly informed traders.
KW - Attention
KW - Google
KW - Internet
KW - Investors
KW - Limit order book
KW - Market microstructure
KW - Retail
KW - Searches
KW - Trading
UR - http://www.scopus.com/inward/record.url?scp=85100569787&partnerID=8YFLogxK
U2 - 10.1016/j.irfa.2020.101627
DO - 10.1016/j.irfa.2020.101627
M3 - Review article
AN - SCOPUS:85100569787
SN - 1057-5219
VL - 81
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
M1 - 101627
ER -