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Investor attention to market categories and market volatility: The case of emerging markets
Stockholm University, Faculty of Social Sciences, Stockholm Business School.ORCID iD: 0000-0003-3378-7543
Stockholm University, Faculty of Social Sciences, Stockholm Business School.
2018 (English)In: Research In International Business and Finance, ISSN 0275-5319, E-ISSN 1878-3384, Vol. 44, p. 532-546Article in journal (Refereed) Published
Abstract [en]

This paper examines the impact of investor attention on stock market and FX market volatility in emerging economies using newly constructed innovative attention proxies that capture the full spectrum of the dynamics of the information processing stages. Our results show that the new practical proxies are better at capturing the complex nature of investor attention to market categories. We find that investor attention explains stock market volatility and shocks to attention but not FX market volatility in emerging markets. Thus, the emerging stock market, an important segment of the global equity market, is particularly sensitive to changes to investor attention.

Place, publisher, year, edition, pages
2018. Vol. 44, p. 532-546
Keywords [en]
Category-learning, Investor attention, Volatility, Emerging markets
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-150582DOI: 10.1016/j.ribaf.2017.07.124ISI: 000430440500040OAI: oai:DiVA.org:su-150582DiVA, id: diva2:1169406
Available from: 2017-12-26 Created: 2017-12-26 Last updated: 2018-05-28Bibliographically approved

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Peltomäki, JarkkoHasselgren, Anton
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