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Does investor attention affect trading volume in the Brazilian stock market?

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  • De Souza, Heloisa Elias
  • Barbedo, Claudio Henrique Da Silveira
  • Araújo, Gustavo Silva

Abstract

Given the large amount of information available about companies and stocks, investors have to be selective about the information they process. This behavior is related to the attention effect. The aim of this paper is to investigate the relationship between a proxy of attention effect, media coverage, and the trading volume of the Brazilian stock market. The results show the trading volume is negatively influenced by news on previous “good days” and not influenced by news on previous “no good days”. In addition, less visible companies in the media are more susceptible to the attention effect when news is relevant.

Suggested Citation

  • De Souza, Heloisa Elias & Barbedo, Claudio Henrique Da Silveira & Araújo, Gustavo Silva, 2018. "Does investor attention affect trading volume in the Brazilian stock market?," Research in International Business and Finance, Elsevier, vol. 44(C), pages 480-487.
    • Handle: RePEc:eee:riibaf:v:44:y:2018:i:c:p:480-487
    DOI: 10.1016/j.ribaf.2017.07.118
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    References listed on IDEAS

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