Impact Of Investor Attention And Investor Sentiment On Stock Performance

Since the era of Internet was coming,the speed of information dissemination has accelerated.As a result,a large amount of information has drawn investors' attention and guided investors' emotions.Therefore,investors play more important role in stock market.Increasingly financial phenomena are difficult to explain with traditional theoretical knowledge which is based on "completely rational man" hypothesis.The advance of Internet search engines and big data technology makes it possible to explain human behaviors.The domestic financial market is still immature with large proportion of individual investors.Irrational behaviors can't be avoided in this situation and speculative tradings may threaten financial security.Therefore,it's necessary to pay more attention to their concerns and emotions.This article focuses on the overall market and different industries,studying the influence of investor attention as well as investor sentiment on stock market returns and volatility.The interaction between investor attention and investor sentiment is also the content.In this paper,Baidu Index was used to measure as investor attention while the comprehensive index of investor sentiment was synthesized by the principal component.In the meanwhile,the CSI 300 Index was chose to represent the overall market quotation when the situation of various industries was represented by industry index from Shenzhen Stock Exchange.The VAR model,Granger causality test and impulse response function were applied to empirically analyze the influence of investor attention and investor sentiment on stock market return separately.The impact of investor attention and investor sentiment on stock market volatility were analyzed through the EGARCH model.Finally,the interaction of the two variables above was verified through multiple regression.When it comes to industries,not only the differences between industries but also the differences between industry and overall market were compared,contributing to solve financial problems caused by investors more specifically.Through a series of empirical studies,the following conclusions have been drawn: On the whole,investor attention has a positive impact on the stock market returns.It also has a significant positive effect on stock market volatility in a short term but turns nagative and disappears soon.The influence of investor attention on stock market returns is more profound than that of volatility.Investor sentiment influences positively on stock market returns and volatility in a short time,followed by a reversal effect.In contrast,the impact of investor sentiment on stock market volatility is more significant than that of attention but the duration is shorter.Investor attention and investor sentiment have remarkable interaction effect on stock market performance.For the stock market returns,the relationship betweenthe two changes from mutual promotion to mutual restraint.For the stock market volatility,there is a positive interaction between but the effect gradually diminishes until it disappears.The two factors have a different effect on the return rate and fluctuation ratio of different industries.What's more,their impact on volatility is asymmetric and the symmetry of different industries is different.