The Influence Of Investors’ Attention To Stock Liquidity And Market Performance

With the progress of technology and the Internet, information resource becomes more and more rich, even into the era of information explosion,by contrast, investors’attention is relatively scarce. That will produce certain contradictions between the two. As Johns Hopkins university in the United States in1996, Simon in his speech pointed out that information rich problem will lead to that individual attention become scarce, because of the huge amounts of information took all the attention, caused the poor attention. Many studies have shown that when investors have a lot of information, how to allocate the scarce resources of attention will have an impact on investment decisions.In this background, this article mainly studied the relationship between investors’attention and the stock market liquidity and market performance in our country.By reviewing previous literature on this topic,I found that many scholars use the indirect indicators like extreme trading volume, excess return, the amount of news attention to measure attention before2010, until Da et.al firstly use Google search index to direct measure of attention in2011. Search data can be objective responses investor preferences and quantify the behavior of investors,so this article use the Google’s search index to measure investors’attention,and selects the Shanghai180index stocks as the research object. The research range is108months from January2004to December2012,mainly study the effect of investor attention to stock market.Through research found that:first of all, investors’attention has a significant positive correlation with the stock market liquidity, high attention will be high liquidity, high liquidity will produce high attention, investors’attention driven transactions, will produce net buying behavior; Second,the relationship between investors’attention and current stock earnings is significant positive, when investors’ attention is high, it will cause the net buying behavior and stock price will rise,then lead to the current stock returns increase; Finally, the relationship between investors’ attention and the expected return rate of stock is very weak, the prediction ability is low.Based on the conclusions of this study, investor attention has a significant impact on the stock market liquidity and stock current yield, which has some theoretical and practical significance:it can promote Internet search data in the application of economic and financial field;it can promote regulators to make effective economic policy; it can be conducive to individual and institutional investors making rational portfolio, avoiding impulse trading losses; it can help listed companies to select the best timing for financing and releasing information.