Limited Attention And Stock Prices Of The Listed Companies In China

The traditional financial theory is said that people are completely rational,markets are efficient, investors remain abundant attention on assets,and all kinds ofinformation can be instantly absorbed into the prices. But along with the extensiveapplication of the Internet, there are vast amounts of information on the Internet,investors only can have selective attention to very small part of the information, thestudy of limited attention has more realistic meaning now.As the proportion of small investors is much higher, and compared to theinstitutional investors, more small and medium investors gather information usingsearch engines, while Baidu’s market share in our country takes the absolute positionof strength, so small stock investors choose Baidu to query the information of listedcompanies is a universal phenomenon. There is no doubt that when people take theinitiative to search for information of a stock, the investors generate attention.Therefore,this amount based on search data measure the degree of investors’ attentiondirectly and accurately, and this attention is bound to affect investment behavior, andthen finally affect asset prices.This paper was in support of the theory of limited attention, and used thenetwork data---Baidu index as a direct measure of investors’ attention indicator. Thispaper first analyzed theoretically the relationship between investors’ attention and thestock market,introduced the relevant models of the attention. Then we searched the"CSI300","SME" and"GEM" three entries from January1,2010to August25,2013andgot the investors’attention of the stock market on1333calendar days. The quantitativeanalysis of the stock market’s attention in a week and monthly showed that investors’attention was regular. Investors’attention reached the highest point on Tuesday, andbegan to substantial decline on Friday, then reduced to a minimum on Saturday andSunday. In addition, the study of monthly attention showed that average daily attentionwas higher in April and November, but in June, July, August and September investors’attention was maintained at a relatively low level. China’s listed companies can choosetiming to release different information, and this information is through the behavior ofinvestors into the asset prices. Then I built Network attention with Baidu Index, and used it for analysis ofindividual stocks. In this paper, I was concerned about the correlation analysis ofNetwork attention and other investors’ attention indicator, the influence of investors’behavior, changes in Network attention and prices, levels of Network attention andprices. I wanted to dig out whether Network attention has a significant impact on thestock market. I got that the stocks with high levels of attention would bring short-termpressure to buy, and trading volume and turnover also rise, bring the day’s high yield,but the gains will be reversed next day, accompanied by a large selling pressure, themarket will have a higher trading volume and turnover. By contrast, changes inNetwork attention and prices is more evident in China, Because increasing attentioncan measure a stock purchase requirements on the stocks. Then I analyzed the weekendattention, I found that the attention does not bring significant opening price pressure onMonday, which was mainly due to listed companies tend to release negativeinformation on the weekend, This reminds us that for different periods of attentionshould be treated differently.