Investor Attention,Investor Sentiment And Stock Return

According to behavioral finance,asset prices in the securities market are not only determined by the intrinsic value of securities,but also influenced by the behavior of investors to a large extent,that is,the psychology and behavior of investors have a significant impact on the price decisions and changes in the securities market.In recent years,with the rapid development of network technology,the Internet has become the main carrier for investors to express their emotions and concerns.On the basis of the existing research,this paper selects the data of two different types of platforms,the stock bar forum website and Baidu search engine,to construct investor sentiment index and investor concern index respectively.Combined with the relevant knowledge of informatics and behavioral finance,this paper explains the different meanings of the two from the perspective of information supply and demand,and studies the time lag between them and the yield of Shanghai Composite Index.Through theoretical analysis and empirical test,this paper finds that,expressing opinions and emotions in the stock bar forum reflects the fluctuation of investors' information supply behavior and sentiment,while searching information on the search engine reflects the information demand behavior and investors' attention,both of which have a certain impact on the trading behavior of the stock market through the bridge of "information supply and demand".Through the establishment of vector autoregression model,this paper discusses the leading and lagging relationship among investor sentiment index,investor concern index and Shanghai Composite Index.The results show that investor sentiment affects investor concern,and investor sentiment has an effect on the stock return in the later period.Stock return can predict investor concern,while investor concern has no effect on stock return.Furthermore,the time-varying parameter vector autoregression model is used to discuss the dynamic relationship between variables.The results of empirical analysis show that the influence of investor sentiment and investor concern on stock market returns changes with time,which is regular and has obvious time-varying characteristics.First,investor sentiment has a positive role in promoting stock market returns,and the short-term effect is more obvious.Second,the effect of investors' attention on stock market returns is positive,but the response intensity is very small;on the contrary,the effect of stock market returns on investors' attention is more significant and stable.Last when the stock market fluctuates abnormally,the influence of investor sentiment on the stock market returns will be more significant than when the stock market is stable,that is to say,investor sentiment has a strong role in boosting the panic decline or irrational prosperity of the stock market.