Investor Attention,Stock Returns And Liqul Dity

In financial markets,when investors are faced with vast amounts of information,the scarcity of attention determines that they have to allocate their attention,and the outcome of the allocation will have an impact on investment decisions.At present,one of the distinctive features of Chinese stock market is the majority of small and medium-sized investors dominate the market,investors capture information released by listed companies for processing,and finally make investment decisions and affects the performance of the stock market.In this paper,the "A-share market attention" is used as the proxy variable for investors attention.The author collects the attention data of 59 companies listed on the GEM,from January 4,2016 to December 30,2016,based on theoretical assumptions,research on how the investors attention influence the GEM stock market performance in the regression model.The result of the research shows that investors attention are related to stock returns and liquidity.The result is as follows:(1)There is correlation between the investor attention and listed company's stock returns,current investor attention will generate interest premiums,causing the increase of the return rate,and this correlation is strengthened when investors attention and the stock size are higher,but stock return based on the investor attention will reverse in the short term.(2)There is significant correlation between stock‘s liquidity and investor attention,and this correlation is strengthened when investors attention is higher.Current investor attention and the lag period investor attention can both cause the increase of stock trading volume and turnover rate.