Multidimensional attention to Fintech, trading behavior and stock returns

The rapid development of Fintech may significantly change investor behavior and investment decision-making processes. We introduce a multidimensional attention framework, which includes investor attention, academic attention and capital markets attention to Fintech, and accordingly constructs an index of Multidimensional Attention to Fintech (MAF) using a text-analysis approach. MAF is then used to measure the dynamic impacts of Fintech on investor behavior and stock market returns in China. Existing literature suggests that trading behaviors such as the number of newly opened accounts and trading volume have significantly positive impacts on stock market returns. However, these findings are not supported after adding our MAF index. Our results suggest that an increasing number of newly opened accounts and higher trading volume may not be attributable mainly to active market and trading behavior but are consequences of the development of Fintech itself.