Correlations Between Investors’ Attention And Stock Market Index

The development of the Internet has accelerated the process of information explosion, people’s attention has become a scarce resource. For investors, especially individual investors, in the face of hundreds of stocks in the market, Stocks with good market prospects or contemporary popular industry usually attract more attention, concept stocks become a hot pursuit for investors. Baidu index is used as a proxy variable for the attention of investors to analyze the correlation between investors’attention about concept stocks and the liquidity and yield of stock market and the corresponding concepts shares sector index. The main conclusion is as follows:Firstly, correlation between investors’attention about concept stocks and the liquidity and yield of stock market indices is analyzed. Investors’attention is significant positive correlated with the Shanghai Composite Index, the Shanghai A-share Index and Shenzhen Component Index, Shenzhen A Index but is not significant positive correlated with the Shanghai B-share Index and Shenzhen B-share. Also that historical information of investors’ attention is more significant correlated with the liquidity of Shanghai Composite Index than Shenzhen Component Index. Subsequent studies have found that investors’attention about concept stocks is not significantly correlated with the yield of Shanghai and Shenzhen Composite Index as well as A, B shares index. Suggesting that investors’attention is not enough to affect the overall market index yield changes.Subsequent studies analyzed the correlation between investors’attention about concept stocks and the liquidity and yield of the corresponding concept stocks sectors, results show that investors’ attention could increase the liquidity of the corresponding concept stocks sectors and could get excess returns currently, but this positive effect on the price will soon disappear. In contrast, the liquidity will continue one day, indicating that the current period, investors are "net buyers", and the next day, investors began to sell stocks of the concept sectors, which makes the excess returns disappear, and liquidity is still significant. This shows that transactions driven by investors’ attentions is a short-term operation rather than long-term holding, which proves that investors’ attention about concept stocks indeed represents investors’ speculation.