Research On The Impact Of Investor Attention On Asymmetry Of Stock Ruturn Volatility

With the acceleration of social informatization,information has become an increasing significant risk source affecting the stock market.The difference in the impact of positive and negative information on stock prices indicates the existence of volatility asymmetry,which makes it possible to manipulate the market through information release.Due to the objective restriction of limited attention,investors will only invest and trade specific stocks they have noticed.Therefore,the premise of information acting on the stock market is the generation of investor attention,which is closely related to stock return volatility.In view of this,this paper studies the impact of investor attention on asymmetry of stock return volatility,and further discusses the moderating effect of news reports and analyst attention on investor attention in the process.This paper uses the daily return data of CSI 300 index stocks,and adopts time series analysis model and rolling sample test to estimate the asymmetry of stock return volatility.From a general perspective,this paper verifys the volatility asymmetry of Chinese stock market.The results show that volatility asymmetry does exist,and the impact of the negative return is stronger.Then this paper selects the number of daily new posts in Internet stock forums as the proxy variable of investor attention,and studies the impact of investor attention on asymmetry of stock return volatility using panel data.The results show that the investor attention of different stocks vaires,and investor attention has a significant positive impact on the asymmetry of stock return volatility.After clarifying this impact,this paper further considers the moderating effect of external information sources on investor attention in the process.News reports are included in the study,and are studied from two perspectives of news coverage and news sentiment.The results show that news report has significant moderating effect in the process.News coverage can negatively regulate investor attention,while news sentiment can positively regulate investor attention.Analyst attention are also included in the study,and are studied from two perspectives of analyst research reports coverage and forcast differences.The results show that analyst attention also has significant moderating effect in the process.Research reports coverage can positively regulate investor attention,while research reports forecast differences can negatively regulate investor attention.News report and analyst attention both have significant moderating effect on investor attention,thus indirectly affecting the asymmetry of stock return volatility.This paper improves the research on the impact of investor attention on asymmetry of stock return volatility under the background of Chinese society and stock market,and conducts multi-field exploration from multiple perspectives.Therefore,this paper can provide references for improving the information efficiency and effectiveness of stock market,reducing abnormal fluctuations,and strengthening supervision of public opinion and investor education.