Research On The Relationship Between Investor Attention And Stock Price Fluctuations And Market Performance Based On 360 Index

In the Internet age,we need to learn the way of big data thinking,through data mining to analyze two or more things hidden behind the relationship,in order to get more from these related knowledge and insights.In this paper,we use the “search index trend” and “media attention degree” data provided by the keyword statistics of 360 index platform to construct the “active and direct investor attention degree” and “passive and indirect investor attention degree” of these two types to measure the investor attention.On this basis,the paper analyzes the influence of investors ’attention on the synchronization of stock price volatility and the influence of investor’s attention on the performance of stock market.In the study of the impact of investor attention on share price synchronization,the regression analysis method of panel data was used to analyze the fixed effect model under the hausman test.Through empirical test,we find:(1)There is a positive correlation between the active and direct investor attention and stock price volatility synchronization based on the search index in the 360 index.(2)360 media in the media attention expressed by the passive and indirect investor attention on the stock price synchronization has a reverse impact,which can reduce the company’s stock price volatility synchronization.Then,the relationship between investors’ attention and market performance is analyzed,and the panel vector autoregressive(PVAR)model is used to analyze the concrete results.The concrete results are as follows:(3)Investor attention and stock market performance are Granger causality;(4)Active investor attention has a positive impact on excess returns and volume;passive investor attention has the opposite effect on stock volume and excess return in the early stage,and then there will be reversal;(5)The performance of the stock market has an impact on investors’ attention at the beginning of the period,followed by reversal;(6)Active investor attention than the passive investor attention,the impact on the stock market performance greater;(7)From the market performance,that is,the relationship between volume and price point of view,the stock turnover on the excess rate of return has a positive impact;and excess returns on the impact of volume will be reversed.