Asymmetry of retail investors’ attention and asymmetric volatility: Evidence from China

In this paper, we propose a new proxy to measure asymmetric attention of retailers with signed (positive, negative and neutral attitude) posts published on online stock message board of Chinese A-share market. It shows that the proxy for asymmetric attention is significant and positive related to volatility asymmetry. Furthermore, we find that negative information arrivals can induce higher volatility asymmetry, and asymmetric attention which acts as a mediator incorporates more negative information flows into market, which then triggers high asymmetric volatility. Moreover, this proxy is an independent variable from idiosyncratic financial leverage, but its influence on asymmetric volatility increases with market systematical risks.