The Effect Of Internet Search On The Price Of Securities Exchange Markets

With the deepening of Chinas financial reform and innovation measures,Chinas financial market is in a highly developed process.The unique deep participation of individual investors in Chinas financial market makes the investor composition significantly different from that of other markets.Therefore,Chinas financial market presents its own characteristics.Investors attention has long been well-studied by researchers in behavioral finance field,especially with the rapid development of the Internet today.The advent of the era of big data provides a strong data guarantee for researches focused on investors.A large number of studies suggest that Internet search data from search engines can be used as proxy variables for individual investors attention.However,there are still many limitations in the current research.Most of the research focuses on the asymmetric trading market represented by stocks Furthermore,for different samples,the conclusions are not completely uniform.Therefore,this thesis conducts a more in-depth study on the impact of Internet search index on financial market.From the perspective of Internet search data,this thesis subdivides it into a variety of data types,such as product search data that can be used as the focus of consumers,and search data from different search terminals on behalf of individual investors.From the perspective of the characteristics of financial market,this thesis subdivides them into two characteristics: asymmetric trading market and symmetric trading market.From the perspective of the impact on the financial market,this thesis divides the impact into two dimensions: return impact and risk impact,and studies the different effects of different types of Internet search data in their corresponding markets.Google and Baidu search engines are used as the search volume data sources and multiple financial markets,such as the US stock market,China commodity futures market and China stock index futures market,are used to conduct in-depth research on the financial market on the Internet with a variety of different models.Based on the theory of investors attention,futures pricing theory,noise trading,double process theory and other relevant theories,this thesis puts forward reasonable assumptions and conducts an in-depth discussion on the impact of search volume data of each different feature on the corresponding market.The detailed content is as follows:(1)Exploring the impact of consumer attention on the stock market.This part of the study uses different search keywords to expand the Internet search data from proxy variables that investors focus on to consumer concerns.On the one hand,it provides new evidence and ideas for studying the long-term impact of Internet search data on the stock market.(2)Studying the influence of Internet search on the symmetrical trading market.To make up the limitation of previous studies which have largely focused on asymmetric trading markets and draw on the assumption that individual investors are net buyers of stocks.This part of the research removes this premise and extends the research object of the financial market to the symmetrical trading market.It also explores the impact of Internet search on market returns in asymmetric markets and the ways in which this effect changes.The results not only explain the differences in the impact of investors from the Internet on different symmetrical markets,but also point out the ways in which investors from Internet search focus on determining the impact on futures market returns.It is worth mentioning that in this part of the study,the special events existing in the futures market of Chinese stock index were used to verify the different effects of the search index on the symmetric and asymmetric markets respectively in the same futures market.It provides strong evidence for the differences in search volume indexes from the Internet in different symmetrical markets.(3)Interpreting the heterogeneity of search volume index from different search devices.This part of the study used the search volume index from different search devices: PC and mobile devices.A unique data source in the Chinese market is used to conduct in-depth research on its heterogeneity.The study finds that the impact of the search volume index on the future market earnings mainly depends on the search volume index from the PC side,while the search volume index from the mobile side shows more characteristics of noise trading.(4)Exploring the effect of search index on the volatility of futures market.This part of the study discusses the impact of the search index on the volatility of the futures market in different measures of volatility,different time periods of day and night trading and the heterogeneity of the impact on different search devices.The results show that the search volume index from the Internet has a significant positive effect on the volatility of the futures market,and this effect from the mobile devices is more important than it from the PC devices.This effect shows consistent characteristics in different measures of volatility and different time periods of day and night trading.The conclusions of this part of research can provide effective suggestions for practitioners in financial market to describe market characteristics,measure market risks and improve derivative pricing.