Research On The Impact Of Investor Concern On The Stock Market

With the continuous development of Internet technology,the traditional way of stock trading has gradually withdrawn from the stage of history.Today,investors can learn about stock market prices and conduct stock trading through smartphones anytime,anywhere.However,the stock market generates a lot of information every day.Due to the limited energy of investors,it is impossible to obtain all the information of the stock market and make a comprehensive judgment.With the continuous development of technology,all major brokerages and investment platforms have launched smart stock selection services to screen out popular stocks and recommend them to investors through big data technology.This article combines "two-level communication theory" in behavioral finance,information communication,event research and multiple regression analysis to examine how investors' concerns affect stock prices,and uses "Baidu Stock Connect" stock selection data for empirical analysis.This article first sorts out the classic theory of investor attention in this field in behavioral finance,elaborate on the evolution of domestic and foreign investors' attention to agency variables and the existing research results on the impact of investor attention on the stock market,based on the HS model and Some studies have proposed three hypotheses.Secondly,this article uses Python3.6 to grab all the hotspot concepts and related recommended stock data released from January 4,2018 to March 10,2019 on the hot search section of the "Baidu Stock Market" web version.Taian database manually collects the closing prices of all popular recommended stocks from 120 days before to 10 days after the release date,using the event research method to make 120 days before the release date to 11 days as the estimated period,and 10 days before the release date to 10 days after the release date.During the event period,the excess return rate of the stock is estimated through the capital asset pricing model,and the average excess return rate and cumulative excess return rate of the recommended stocks are analyzed from different angles of information dissemination time interval,industry,stock sector,etc.,and the popular recommended stocks are investigated.The price changes within 10 days before and after the information release date.Finally,using the hot search index in "Baidu Stock Market Link" to directly measure the limited attention of investors,we constructed the cumulative excess return of stocks as the explanatory variable,the investor's attention as the explanatory variable,profitability,market value,book-to-market ratio,10 indicators such as investment style are used as control variables in multiple regression models.Empirical research is conducted from the perspective of different information dissemination intervals,different industries,and different sectors,and the robustness is adjusted by adjusting the time window and removing the noise factors that will be closed the day after the stock recommendation day.Test to verify hypotheses.The empirical results of this paper show that investor attention has a significant impact on the hot spot recommended stock returns,and the increased investor attention has a positive predictive effect on future stock returns.Stocks recommended by Baidu Stock Connect will have short-term price momentum in the future,and then fall back,but they have no effect on the long-term price of the stock.The smaller the interval between "secondary spreading" and "first spreading",the more significant the impact of investor attention on stock returns.In different industries,there is a significant difference in the impact of investors' attention on stock returns after the influence of public opinion.It has a positive impact on industrial stocks and has no significant impact on stocks in real estate,finance,commerce,public utilities,and other industries.In different sectors,there is a significant difference in the impact of investors' attention on the stock returns after the influence of public opinion.It has a positive impact on the GEM and Main Board stocks,and has no significant impact on the SME stocks.At the same time,investors are concerned that the positive impact on GEM stock returns is much greater than that of main board stocks.