Accounting and Finance
International Review of Financial Analysis
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.
Retail, Investors, Attention, Limit order book, Trading, Internet, Searches, Google, Market microstructure
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Artem Meshcheryakov and Drew B. Winters. "Retail investor attention and the limit order book: Intraday analysis of attention-based trading" International Review of Financial Analysis (2022). https://doi.org/10.1016/j.irfa.2020.101627