Who watches what and why it matters: Attention allocation, tug-of-war, and market resiliency: A pre-registered report

We propose to examine how attention disparities between retail and institutional investors affect market resiliency through their trading patterns across overnight and intraday periods. Using U.S. equity market data from 2010 to 2024, we will employ panel regressions to test whether intense tug-of-war periods, particularly during high retail attention episodes, lead to lower market resiliency due to arbitrageurs' overcorrection of perceived mispricing. We expect these effects to be more pronounced during macroeconomic announcements that differentially capture retail versus institutional attention. We aim to contribute new insights into market efficiency and stability in an environment of increasing retail participation, with implications for market design and regulation. • We examine attention disparities between retail and institutional investors and their impact on market resiliency. • We test whether intense retail-institutional trading conflicts (tug-of-war) reduce market resiliency due to arbitrageurs' overcorrection of perceived mispricing. • This study contributes to the understanding of market efficiency and stability in an environment of increasing retail participation.