不同市场行情下投资者关注频率对交易驱动的非对称性影响——基于证券服务类APP用户行为数据的实证分析

The Asymmetric Driving Effect of Investors' Attention Frequency on Trading under Different Market Situations——An Empirical Analysis Based on Data on Users' Behavior in Securities Service Mobile Applications

本文利用证券服务类应用软件(APP)的用户行为日度数据,从APP启动次数和在线时长两个角度度量了市场层面的投资者关注频率,并考察了其在不同市场行情下对投资者市场整体交易活动的非对称性影响。研究发现,投资者关注频率显著驱动了市场交易活动,但相比于坏的市场行情,该影响在好的市场行情下(如高收益、牛市周期以及高情绪阶段)对整体市场交易的边际驱动效应明显被削弱。该发现支持了信息效用假说,表明在好的市场行情下每单位信息获取频率会为投资者提供更多的享乐效用,因而被转化成更少的交易决策。然而,基于百度搜索量度量的投资者关注度对交易的驱动效应却表现出了相反的非对称性,说明投资者关注度在数量维度的测度实际上刻画了投资者的风险偏好。本文采用工具变量法等方法进行了一系列检验,验证了上述结论的稳健性。

How investors' information acquisition behavior affects their trading decisions is a basic issue in the capital market.Research in the field of behavioral finance holds that attention is a scarce cognitive resource for individuals.Therefore,investors usually selectively pay limited attention to a few assets,which results in the phenomenon of “attention-driven trading”.Although abundant existing literature supports investor attention's driving effect on trading,whether such an effect is asymmetric under different market situations is far from being revealed.To fill this gap,this study examines the asymmetric driving effects of investor attention frequency on market trading at good and bad market times.Based on data on users' daily adoption of securities service mobile applications in China's Mainland,Cai Wenwu and Lu Jing(2019) are followed and investors' financial attention frequency(IFAF) is measured from two aspects:the number of start-up times and the online duration.Consistent with Cai Wenwu and Lu Jing(2019),IFAF significantly promotes trading activity in the market,which supports the “attention-driven trading” hypothesis.However,compared with bad market times,such as low-return periods,bear cycles and low-sentiment stages,the driving effect of IFAF on trading activities is significantly weaker during the good market times,i.e.,high-return periods,bull cycles,and high-sentiment stages.This finding supports the “utility of information” hypothesis,suggesting that investors obtain financial information frequently to achieve more psychological pleasure at good market times,which leads to a lower marginal driving effect of unit attention frequency on transactions.For comparison,the asymmetric impact of investor attention measured by Baidu search volume index(BSVI) on market trading is also examined.BSVI shows a more substantial marginal driving impact on trading at good market times than at bad market times.Since BSVI reflects the number of investors searching for specific information through the Internet,the above result indicates that investors are stronger risk-seeking under good market situations.Finally,a series of robustness tests are made by using instrumental variables,adopting other measures of main variables,and investigating the asymmetric incremental effect of IFAF on trading volume,etc.The findings remain unchanged.It helps to make up for the gap in the asymmetric driving effect of attention on trading in the existing literature and to deepen the understanding of the relationship between investors' information acquisition activities and trading activities.Meanwhile,our findings reveal the essential difference between investor attention indexes measured from the quantitative and frequency dimensions,which has a certain significance for exploring the internal mechanism of how attention drives trading.More importantly,given the additional psychological utility of information to investors,practical enlightenment for investors is also provided to optimize information acquisition decisions under different market conditions,thus reducing irrational trading decisions.