Investor Attention And Stock Performance

Along with the extensive application of the Internet, the amount of information people create is increased increasing at the exponential speed. However, a wealth of information creates a poverty of attention. The attention has become an important factor of the asset pricing. The search engine enable investors get information at a very small price; meanwhile, their search actions are recorded by the search engine.Baidu Index is applied to directly measure the level of limited attention from individual investors. The investigated sample is taken from the Chinese ChiNext Market. The findings conclude that investor attention can affect the performance of stock market. An increase in Baidu Index predicts higher stock price in that day and an eventual price reversal in the next few days. Investor attention has a significant impact on the jump of stock price at call auction on the next trading day. Analysis of the volatility for the stock on ChiNext Market confirms empirically the hypothesis that that investor attention has a significant impact on the volatility of stock return. Investors’attention has the positive correlation with the stock volatility on the corresponding period, while the lagged attention has the negative correlation with the stock market. At last, Three quantify trading strategy are given based on the Empirical study.