Abstract: Most of the existing literature regards investors as indiscriminate individuals and studies the impact of overall investor attention on information efficiency of stock market. However, the behavior of local and non-local investors in the financial market is different. Therefore, the impacts of local and non-local investor attention on information efficiency of stock market should be separately investigated.
This paper considers heterogeneous investor attention, divides overall investor attention into local and non-local investor one, and studies the impact of heterogeneous attention on information efficiency. To be specific, we conduct an empirical study using the samples of all Chinese A-share listed firms from 2011 to 2019. We use geographic distance to distinguish local and non-local search volume and construct the direct measures of local and non-local attention. Based on company financial data and search volume data, we adopt the fixed-effects model to explore the differentiated impact of local and non-local attention on information efficiency and further study the effect of local and non-local attention on information efficiency under different liquidity levels. The results show that there is local bias in investor attention. More importantly, an increase in local attention promotes information efficiency, but an increase in non-local attention reduces information efficiency. In addition, liquidity enhances the promotion effect of local attention on information efficiency and also strengthens the reduction impact of non-local attention on information efficiency.
The main contributions of our study are as follows. First, to our knowledge, this is the first paper that formally investigates and compares the impacts of local and non-local attention on information efficiency, and we further explore the effect of heterogeneous attention on information efficiency under different liquidity levels, which provides new insights for understanding the relationship between different types of investor attention and information efficiency. Second, by considering the geographic information of investor attention, this paperconstructs direct measures of local and non-local attention, which provides a new idea for the construction of existing investor attention. Finally, the empirical results show that there are indeed differences in the impact of local attention and non-local attention on information efficiency. Specifically, local attention improves information efficiency, while non-local attention reduces information efficiency. The result provides empirical evidence for the local information advantage hypothesis.
Several implications can be drawn from this study. For researchers, this paper provides a new method for the construction of local and non-local attention and confirms the differential impact of local and non-local attention on information efficiency, which is conducive to understanding the behavior of investors more accurately. Practitioners, especially non-local investors, should learn more professional investment knowledge, improve their ability to obtain and analyze company information, and make more rational investment decisions. Companies should timely and reasonably disclose their information, reduce information asymmetry between local and non-local investors, and weaken the impact of market noise on stock price changes. Regulators should improve the information transparency of the listed companies, alleviate the information disadvantage of non-local investors, and formulate more effective policies for improving market efficiency.

Key words: investor attention, local bias, stock price non-synchronicity, Baidu Index, geographic distance

摘要： 与以往文献研究总体投资者关注对股票市场的表现不同,本文考虑异质性投资者关注,将总体投资者关注细分为本地投资者关注与非本地投资者关注,并将研究重点聚焦于异质性关注对信息效率的影响。具体地,本文采用地理距离区分本地搜索量和非本地搜索量,以此构建本地关注与非本地关注的直接衡量指标,探讨其对信息效率的差异化影响,并进一步研究不同流动性下本地关注和非本地关注对信息效率的作用。研究发现:投资者关注存在本地偏好;本地关注的增加促进了信息效率,而非本地关注的增加降低了信息效率;流动性越高,本地关注对信息效率的促进作用越大,非本地关注对信息效率的降低作用越大。上述结论对于深入理解投资者行为规律,提升市场信息效率及完善市场监管政策具有重要意义。

关键词: 投资者关注, 本地偏好, 股价非同步性, 百度指数, 地理距离