Retail investor attention and the limit order book: Intraday analysis of attention-based trading

Artem Meshcheryakov, Drew B. Winters

Research output: Contribution to journalReview articlepeer-review

Abstract

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.

Original languageEnglish
Article number101627
JournalInternational Review of Financial Analysis
DOIs
StateAccepted/In press - 2021

Keywords

  • Attention
  • Google
  • Internet
  • Investors
  • Limit order book
  • Market microstructure
  • Retail
  • Searches
  • Trading

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