Research On The Correlations Between Investors’ Attention And Concept Stocks Based On PSM

Concept stocks are unique landscape in China’s stock market. In 2013 Chairman Xi put forward "One Belt One Road". Driven by this background, the Chinese A-share market rose a surge of “One Belt And One Road stocks” speculation craze. As a result a series of infrastructure stocks, foreign engineering stocks, port stocks appeared a row limit-up. Many traditional infrastructure stocks like the CCCC, China Railway construction Corporation, Sinoma International Engineering Co.,Ltd, had been snubbed but have occurred more than 20% of the increase since October 2014. This phenomenon is closely related with the majority of retail, "policy market" and other factors in the Chinese stock market. On the other hand investors’ attention characterizes the enthusiasm for concept stocks. So preliminary determination is that correlation between concept stocks and investors’ attention actually exists. Based on this background, behavioral finance theory and propensity score matching method(PSM) as a means of matching shares, this paper make a comparative study to discuss correlation between investors’ attention and market performances of concept stocks. As China’s stock market first rose and then fell in 2015, we further explore and analyze the asymmetry of correlation under the bull and bear. Through empirical study with the establishment of vector auto regression model and time series model, we make following conclusions:(1)Comparative study in concept stocks and matching stocks confirms that concept stocks is a "plate phenomenon", having excess return and characteristics of “up and down across th”. Its reason lies in irrational investment behavior of investors and speculators so it is feasible to discuss correlation between investors’ attention and market performances of concept stocks.(2)Through analyzing the correlation with VAR model, its empirical results confirm that: There is a significant correlation between volumes, return of concept stocks and investors’ attention. On the one hand from the volume indicators, investors’ attention can positively affect volumes of concept stocks and the impact is significant. It follows that the high degree of investors’ attention can enhance volumes of stocks; enhance its activity in the market. On the other hand in terms of return indicators, correlation between return of concept stocks and investors’ attention is weak, only significant at the 10% significance level. It cannot be believed that stocks with more attention would be able to get high returns.(3)By designing, we further explore and analyze the asymmetry of correlation under the bull and bear. On the one hand from the volume indicators, a positive correlation is proved with the establishment of time series model. Meanwhile through a dummy variable, it shows that impact of investors’ attention on volume indicators in a bull market is significantly higher than its impact in a bear market, so asymmetry can be proved on volume indicators in different market conditions; On the other hand, correlation between return of concept stocks and investors’ attention is weak. And there is no asymmetry on it in different market conditions as investors’ attention just has a short-term impact on stock prices.