IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v57y2025i30p4295-4308.html
   My bibliography  Save this article

Fintech industry risk: does investor attention matter?

Author

Listed:
  • Weiying Ping
  • Min Liu
  • Shan Miao

Abstract

The Fintech industry risk challenges the stability of China’s financial system. This paper makes the first attempt to capture the dynamics of the Fintech industry risk, represented by Fintech stock volatility, from the investor attention perspective. The novelty of this paper is that we fully consider the regime changes in the Fintech industry risk by adopting the AR-MS-GARCH-MIDAS with the Markov regime-switching process incorporated in the short-run volatility component, long-run volatility component, or both. We find that (1) Fintech industry risk is subject to structural breaks, (2) higher investor attention tends to alleviate the Fintech stock volatility, while the negative impact strengthens when the industry is in volatile condition, (3) investor attention contributes to improving the accuracy of the Fintech stock volatility forecasting, (4) considering the structural breaks of investor attention is important in volatility forecasting. We enrich the literature on the Fintech industry risk regulation, stock volatility forecasting, and the attention allocation theory.

Suggested Citation

  • Weiying Ping & Min Liu & Shan Miao, 2025. "Fintech industry risk: does investor attention matter?," Applied Economics, Taylor & Francis Journals, vol. 57(30), pages 4295-4308, June.
    • Handle: RePEc:taf:applec:v:57:y:2025:i:30:p:4295-4308
    DOI: 10.1080/00036846.2024.2356897
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2024.2356897
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2024.2356897?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:57:y:2025:i:30:p:4295-4308. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.