Investor attention to market categories and market volatility: The case of emerging markets

摘要

This paper examines the impact ofinvestor attentionon stock market and FX market volatility in emerging economies using newly constructed innovativeattentionproxies that capture the full spectrum of the dynamics of the information processing stages. Our results show that the new practical proxies are better at capturing the complex nature ofinvestor attentionto market categories. We find thatinvestor attentionexplains stock market volatility and shocks to attention but not FX market volatility in emerging markets. Thus, the emerging stock market, an important segment of the global equity market, is particularly sensitive to changes to investor attention.