The Research Of Investor's Limited Attention On The Impact Of Stock Price Synchronicity

Stock price synchronicity describes the phenomenon of "common trends " between the stock price of a company and the market in a certain period of time.Stock price synchronicity effectively measures the information content of stock price,thus determining the pricing efficiency of the capital market.High level of stock price synchronicity means that it is difficult for the company's idiosyncratic information to be integrated into the company's stock price,and the transmission efficiency of the company's information is low.Compared with developed countries,the synchronism of stock price in China is at a high level,which seriously reduces the effectiveness of the allocation of resources in the capital market and damages the interests of investors.With the development and popularization of Internet technology,data of investors' attention becomes a powerful tool for quantitative analysis in the stock market.However,due to the limited attention of investors,they cannot pay attention to all stock information.Therefore,investors' attention is limited.In view of this situation,this paper attempts to analyze the impact of investors' attention on the synchronism of stock price from the perspective of limited attention.Firstly,this paper chooses baidu search index as the proxy variable of investors' limited attention,and analyzes the factors affecting investors' limited attention.The research finds that investors' limited attention in the lag period will have a significant impact on the current limited attention,and the influence direction is different with the number of lag periods.Secondly,due to the different degree of market volatility,the degree of investors' attention is also different.This paper conducts a regression analysis of market volatility and investors' limited attention,and finds that there is a significant positive correlation between market volatility and investors' limited attention.Furthermore,this paper divides Shanghai stock market into four market forms to discuss the impact of limited investor attention on price synchronicity.The results show that in full sample,bull market and volatile market,limited investor attention can significantly reduce stock price synchronism,while in bear market,it is no longer significant.Finally,the robustness test was carried out in the form of variable substitution,and the results of the test showed that the conclusions in this paper were basically unaffected.