Investor attention and stock price manipulation: Evidence from daily quasi-natural experiments
利用价格四舍五入作为外生冲击，发现投资者关注增加会通过噪声交易加剧股价操纵，且该效应在信息不对称高、理性投资者少等情况下更显著。
This study investigates the impact of heightened investor attention on stock price manipulation. To establish causality, we employ daily repeated quasi-natural experiments, where investors’ attention is influenced exogenously by price rounding rather than by stocks’ fundamental information. Our findings demonstrate that stocks included in the Winner List attract significant investor attention, which leads to increased stock price manipulation. A two-stage channel analysis reveals that this increased investor attention exacerbates stock price manipulation through noise trading. Moreover, the positive relationship between investor attention and stock price manipulation is more pronounced in stocks with higher firm-specific information asymmetry, fewer rational investors, weaker external monitoring, higher costs of arbitrage, and non-shortability. Additional analyses indicate that this positive relationship intensifies during periods of heightened investor sentiment, greater economic policy uncertainty and increased geopolitical risk. Our study provides original evidence that the saliency of information exacerbates stock price manipulation and destabilizes financial markets.