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Using a novel proxy of investors speculative demand constructed from online search interest in “concept stocks”,we examine how speculative demand affects the returns and trading volume of Chinese stock indices.We find that returns and trading volume increase with the contemporaneous speculative demand.In addition,the high speculative demand causes lower near future returns,while recent high past returns cause the high speculative demand.Moreover,the speculative demand explains more variation in returns and trading volume of A shares(more populated by retail investors)than B shares(less populated by retail investors).Our findings support the attention theory of Barber and Odean(2008).