Investors’ Emotion&Stock Price Trend

China securities market has been one of the important markets in theworld through twenty-year fast growth. However, China market is still anemerging market with features of abounds of individual investors, hugefluctuation, and interference from government and so on. Traditionaltheories of capital market may not be very useful in China, especially forGrowth Enterprises Market (GEM) with features of small cap, high P/Eratio. The appearance of Behavioral Finance gives a new clue to analysis.I collected investors’ attention on securities of GEM from hexun.com toanalyze how this indicator affects securities’ price. First of all, bycomparing attention with other indicators, like turnover and volume,investors’ attention actually is a lagged-indicator. Furthermore, I run aregression on small-order, median-order and larger-order respectively,and find that there is a strong correlation between investors’ attention andsmall-order, which means attention data from hexun.com catchesindividual investors. Finally by analysis attention and stock prices, Iconclude that great rise of attention has significant positive correlationwith latter price. From economic perspective, when the attention rise10times, the latter one-day and two-day stock price will go up by7bps and12bps respectively.