We verified the effect of the attention of retail and professional investors on the asymmetry of the stock and index price volatility of emerging markets (namely Brazil, Russia, India and South Africa). We estimated time series of the asymmetry parameter of a variance model using moving windows and tested its relationship with the dynamics of Google and Bloomberg user activity indices, which are proxies of retail and professional investor attention. Using data from 2004 to 2023, we found that the average asymmetry in moments of higher retail attention is four times higher than the one in moments of lower attention. This result is contrary to the idea of preponderance of the ostricht effect, which is a market avoidance by investors during bad times. We also found evidence that size and book-to-market determine higher volatility asymmetry as well, but we did not evidence an influence of leverage or professional attention on volatility asymmetry. Our findings are robust to different specifications and control variables, and show the influence of an important market attribute on a stock volatility stylized fact.
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