Research On The Correlation Between The Industry Sector's Attention And The Sector's Liquidity And Yield Based On Baidu Index

In financial markets,both individual investors and institutional investors are often unable to get and understand all the relevant information in the market,this could cause investors to the market information is not fully understood and deviation on the estimated value of the related assets,on the other hand also appear in the market will lead to more noise traders,the irrational fluctuation of the market become more frequent and intense.In recent years due to the popularity of the Internet changed the way people access to information and applications,promote social into the "big data era",so in the field of financial investment,we can take advantage of the huge Internet data to analyze Internet search index as the proxy variable of investor attention and industry plates are the relationship between the liquidity and yields,and industry groups market movements and changes of forecast and analysis,and then get the yield of higher than the market average return.Based on the above research background and cognition,this article is based on existing research experience at home and abroad,by July 1,2016 to July 1,2019 degrees,PVAR model using panel data regression analysis the baidu keyword search volume index of industry as the proxy variable of investor attention and related industry plates are market indicators of relationship between quantity and price,and on the basis of the sample period,the stock market into a bull market and bear market state of two markets,respectively analyzes the investors in different city,state the relationship between the plate and the plate yield huge,the empirical results show that: There is a positive correlation between the investor's attention to the sector and the liquidity of related sectors and the market rate of return.The premium of sector attention can bring excess returns to investors,but the positive returns brought by high level of attention will gradually disappear in a short period of time,and the yield of sector will gradually return to the basic value later.Meanwhile,high level of sector attention will also bring the increase of trading volume and turnover rate of sector.Through empirical research,it is also found that the relationship between investor attention and stock market return has obvious asymmetry under different market conditions.Embodied in: investors in a bull market conditions plate attention and plate yield is mutual Granger causality,investors plate attention has positive role in promoting to the plate yield,and the positive phase effect than in a bear market is big,but the positive promoting effect would occur later in the inversion,and plate yield can concern for investors play a positive role in promoting;In a bear market,investor attention on the sector will also have a positive impact on the sector yield,but compared with a bull market,the positive effect will be smaller than in a bull market and the reversal will occur in a shorter period of time,and the degree of reversal is more severe in a bear market than in a bull market.At the same time,the effect of sector yield on investors' attention to the sector is negative in the bear market,which also indicates that in the bear market,the increase of sector yield will cause investors to be pessimistic about related sector investment.