The Research Of Effect Of Investor Attention On The Stock Price Volatility

As time changes,the technology has progressed,and the "Internet +" era has made it impossible to make something easier.Information also converges into the ocean of data.When faced with an infinite amount of information,human attention is becoming a scarce resource.Academics research focus how resources are used to become.Behavioral finance which enriches traditional financial theory combines multiple disciplines and diversely explains some financial “visions”.Investor attention is selective and distributed,and investors are not completely rational.Human beings belong to social animals and are characterized by their popularity and blindness.Attention will affect stock price fluctuations of listed companies.This paper will explore how to measure individual and institutional investor attention,selects the number of questions on the “Hudongyi” platform of the Shenzhen Stock Exchange as the focus of individual attention and the number of institutional surveys in the “Investor Relations” section as institutional Attention.Through the text crawling function of the crawler software,the data mining method is used to quantify the text data.In addition,the stock company’s stock price fluctuations include two aspects,on the one hand,it is the stock price fluctuation which is the stock return rate;on the other hand,the stock price fluctuation means the income fluctuation,that is,the stock price volatility.This paper collects the monthly attention data of 594 companies of the GEM from November 2015 to October 2018,and puts forward theoretical assumptions toconstruct a regression model of stock returns and stock price volatility.At the same time,this paper also studies the differences in the impact of individual and institutional investors on the stock price fluctuations of listed companies under the bull market and bear market.Finally,the Baidu Index is used instead of the original individual attention variable to complete the robustness test.The specific conclusions are as follows:(1)The attention of individual investors and institutional investors has an impact on the stock returns of listed companies,and the impact is positive.(2)There is a negative correlation between individual investors and stock price volatility;institutional attention is positively related to stock price volatility.(3)Under different market conditions,individual investors and institutional investors have a higher impact on stock returns in the bull market.In addition,the degree of influence of investor attention on stock volatility is also different in different market conditions.Through empirical analysis,this paper draws relevant conclusions and puts forward reasonable suggestions.For individual investors,education should be strengthened to improve their own understanding;for institutional investors,speculation should be restrained and investment efficiency should be improved;for listed companies,investors can be used to pay attention to public opinion management;for regulatory agencies,they can use Focus on market regulation.