The Research On The Effects Of Investor Attention In Chinese Stock Market

Efficient market hypothesis holds that all relevant information of assets should immediately go into the price of securities,but many anomalies show the market is not that effective.Behavioral Finance believes that under the limited attention,investors have to rationally allocate the resources of attention.Thus,the unconcerned information cannot be immediately reflected in the market,which will affect the trading of stocks and their prices.It's important to study attention limitations for expansion of behavioral finance and the deep understanding of market efficiency.Previous literatures in China have shortcomings in the measure of investors' attention,the shorter sample interval,the sample space limitations,or the low frequency of data.In addition,previous studies limit to study the impact of investors' attention on the stock volume and price,have not analyze about the different trading dynamic of heterogeneity investors at different time,from a perspective of market microstructure.In view of this,we use crawler technology to get the daily data of Baidu Index as the proxy variable of Chinese investors' attention.Our research improves in data frequency,sample selection and micro perspective.Firstly,we use 8 indexes as samples,which can cover Chinese major stocks.Based on VAR and other models,we study the different effects of investor attention on large stocks and small stocks.Then we analyze which signal attracts investors and the role of attention in market efficiency.The results show that changes in the value of the lagged index returns is the signal to attract investors,and investor attention will weaken the predictability of index return,which means that the more investor attention,the more effective in stock market.Then we pioneering study how investors' attention influence a stock's trading dynamics from a micro perspective,based on the attention-adjusted EKOP model.We find that,on high attention days,both informed and non-informed investors are increasing whereas the PIN is lower,which means the information asymmetry is improved.There is a significant increase in stocks' turnover and volatility on high attention days;however,short-term returns are not significantly influenced.