Long Memory In Abnormal Investor Attention And Its Cross-correlations With Traded Volume And Volatility

The investor attention is an important part of behavioral finance.Under normal condition,investor attention should fluctuate in a reasonable range.Nevertheless,if the financial markets have taken place great changes,it can cause attention of investors,which may lead to the strong fluctuation of traded volume and volatility and bring excess earnings or substantial damages to the investors.So the investigation of the cross-correlations between abnormal investor attention,traded volume and volatility plays an important role.This article selects the Shanghai Stock Exchange(SSE)50 Index component stocks from January 4,2011 to November 20,2015 as samples,utilizes the Baidu Index as a direct proxy for the abnormal investor attention and uses financial complexity methods.Firstly,we study long-term memory property in the abnormal investor attention by using the detrended fluctuation analysis(DFA)method and the results suggest that abnormal investor attention is power-law correlated.Secondly,we further employ the detrended cross-correlation analysis(DCCA)method and the DCCA coefficient method to investigate the cross-correlations between abnormal investor attention,traded volume and volatility.The results suggest that there is positive correlation between abnormal investor attention,traded volume and volatility.In addition,the correlations for traded volume are in general higher than the ones for volatility.Thirdly,it is found that the transmission direction of the cross-correlation between the between abnormal investor attention,traded volume and volatility is bidirectional based on the time-delay DCCA method.However,the cross-correlation becomes weak with time past.Fourthly,we also study long memory in abnormal investor attention and its cross-correlations with traded volume and volatility in different market stages.The results suggest that long-term memory property in the abnormal investor attention and the positive correlation between abnormal investor attention,traded volume and volatility of bull market are higher than those in shocking market.Finally,using the method of rolling windows,we find that the above mentioned results are supported and our conclusions are robust.The results not only have important practical significance for controlling the risk investment,but also provide a useful reference for the guidance of financial regulation.