Investors' Limited Attention And The Volatility Of Stock Price

With the development of Internet technology,the number of investors access to information is also more and more,but investors limited cannot fully focusing on all the useful information on the market,the enrichment of information makes the investor attention as a scarce resource,great amounts of information to investors the contradiction between the limited attention capacity is more and more big,the information overload directly led to the investor's limited attention.Traditional financial theory assumes that all the market information to be able to quickly and accurately reflected in stock prices,but the reality of investor attention is limited,the securities market at the same time with the amount of information more than the upper limit of the investors can accept,investors can only focus on part of the market information,make the information transmission mechanism appear delay,eventually leading to skew the actual price and the theory of price.The purpose of this study is to analyze the investors under the condition of limited focus attention to influence the fluctuation in the price of the stock and its different style differences,selected from the stock market has the typical characteristics of the style type stock as sample,choose to use baidu index as proxy variable of interest,the name of the sample stock as keywords baidu index is used to collect searches,the corresponding stock volume of the weight of the index using the weighted average method to build different style stock index the attention.Based on individual investors fixed effect panel model with variable coefficients,research focus of the current period and the lag attention to the influence of different styles of stock price changes in the direction and size,then use VAR model impulse response analysis to study the abnormal fluctuations to investors' concern on the fluctuation of stock price,at last,the family of GARCH model EGARCH and TGARCH model for further analysis of negative information and good information has led to an increased focus on the asymmetry of the share price volatility.The results show that,firstly,in terms of the influence of investors' current attention on stock prices,the attention of large-cap stocks and value stocks is negatively correlated with the stock price,that is,the increase of current attention will reduce the stock price.The attention of small-cap stocks and growth stocks is positively correlated with the stock price,that is,the increase of attention in the current period will raise the stock price.Second,in the aspect of investor interest lag effect on stock price,three lag period in attention to the impact of stock prices is no reversal effect,but the effects of different stocks under attention difference is very big,the influence of different lag attention of large-cap size there is no clear trend,but affect the size of a small fluctuation margin;The shorter the lag time of attention of small-cap stocks,the greater the effect of attention;The longer the lag period of attention in different lag periods of value stocks,the greater the effect of attention.There is no obvious trend in the influence of different lag period attention on growth stocks,but the fluctuation range of the influence is large.Then,in terms of the influence of investors' attention on abnormal fluctuations on stock price fluctuations,the influence of different styles of stocks will eventually fade away after different periods.The stock price fluctuations of value stocks are affected by abnormal fluctuations of attention for the longest time,while small-cap stocks are affected for the shortest time.After large-cap stocks pay attention to the increase of abnormal fluctuation,the price fluctuation shows a trend of negative first and then positive in five periods.Small-cap stocks are affected for a relatively short period of time and will only show a trend of price fluctuation reduction in 3 periods;Value stocks will last for 6 periods,and there will be a trend of price fluctuation reduction in the first and later period.The price fluctuation reduction range in the early period is greater than that in the later period.Growth stocks will last for 6 periods,with price fluctuations decreasing in the early period and increasing in the later period.Finally,in investors' attention to the asymmetric effects of share price volatility,in addition to the large cap,small-cap stocks,value and growth stocks the attention on the fluctuation of stock price has obvious asymmetry,attention to the asymmetry of the small-cap stock price fluctuation is the most,the minimum effect on the asymmetry of the value stock.To sum up,there is a correlation between investors' attention and stock price.When investors conduct investment analysis,they can make predictions and expectations on the stock price and its fluctuation according to the changes of the constructed attention proxy variables,so as to achieve the maximum return of the optimal investment portfolio and manage financial risks.