Research On The Impact Of Investor Attention On My Country's Stock Market Volatilit

In the financial market environment of information explosion,it takes a lot of time and energy for investors to fully absorb and process information,and investor attention has become a scarce resource.Limited attention often prevents investors from paying attention to all the information that affects stock prices,resulting in behavioral biases among investors and different investment behaviors.Due to the inaccurate measurement of individual investor attention in existing studies,the use of investor attention as a single time scale variable for research,and the lack of research perspective on institutional investor attention.This article combines the practical background of the development of behavioral finance and the theoretical background of limited attention theory to explore the composition of individual investor attention indicators.Study its impact on the stock market in the financial market under multiple time scales.Then,by comparing the impact of individual and institutional investor attention on the stock market,we analyze the impact of market behavior of rational and irrational investors on the stock market.To provide meaningful empirical evidence for understanding stock price trends and investors’ trading behavior.The following work has been completed in this article: Firstly,it reviews the literature on the impact of investor attention on the stock market and the proxy variables of individual and institutional investor attention.It reveals that investor attention is one of the important factors affecting the stock market,and depicts the evolution process of proxy variables of individual and institutional investor attention.Secondly,based on relevant theories,this paper proposes research assumptions about the impact of individual and institutional investor attention on the stock market,and determines empirical models based on the assumptions.The third is to use the PCA method to jointly construct individual investor attention using the Baidu search index and trading volume of the China Securities 500 component stocks,using institutional shareholding as a proxy variable for institutional investor attention,and measuring stock market volatility using the China Securities 500 stock index,yield,and volatility.The fourth is to decompose the explanatory and explained variables using EMD methods and reconstruction algorithms,dividing the attention of individual and institutional investors and stock market volatility into different time scales,such as short-term,medium-term,and long-term.The fifth is to use GARCH(1,1)to compare the impact of individual and institutional investor attention on stock market volatility under different time scales.The main research conclusions are as follows:(1)The attention of short-term individual investors has a significant positive correlation with short-term stock market volatility,and there is also a high persistence of stock market volatility.(2)There is no significant correlation between short-term institutional investor attention and short-term stock market volatility.(3)Both medium-and long-term individual investor attention and institutional investor attention have a positive correlation with stock market volatility,and have the same leading and lagging relationship.That is,both medium-and long-term fluctuations in individual investor attention and institutional investor attention are ahead of medium-and long-term fluctuations in the stock market.