Research On The Impact Of Investors’ Attention On The Performance Of SSE Star Market

For a long time,investors’ attention to this segment has been the focus of behavioral finance research,Since investor attention will have a direct impact on their investment behavior,it will have an impact on the price of assets and even the behavior of listed companies.Earlier research in this area mostly used indirect indicators such as stock turnover,advertising spending,and news coverage to reflect investor attention.The rapid development of Internet technology in recent years,search engines such as Google and Baidu have used big data technology to launch quantitative search index data,and scholars have begun to use Google search index and Baidu search index to measure investor attention.However,there are a large number of non-investor users among the people who use search engines,and their search behavior may only be initiated by focusing on the company’s products or job opportunities.There is a lot of noise in using this type of index to measure investor attention.Compared with the search index,the stock community is a platform for investors to communicate,and its participants are basically investors in the securities market.Therefore,it is undoubtedly more accurate to use stock community data to measure investor attention.This article uses individual stocks in the stock community.of daily postings to measure investor attention.On 13 June 2019,the STAR officially opened,and as a major step in the deepening reform of China’s capital market,the STAR is an excellent entry point to study the impact of investor attention on the stock market.Based on the Fama-French three-factor model,this paper adds the investor attention variable with the number of stock community posts as a proxy indicator,constructs a panel regression model,and empirically studies the relationship between investor attention and the performance of the STAR stock market.related relationship.It is found that investor attention is positively correlated with STAR stock returns in the current period,but investor attention causes returns to reverse in the lagging period;investor attention is positively correlated with STAR stock liquidity,intra-day volatility and volatility asymmetry;investor confidence plays a moderating role in the relationship between investor attention and STAR stock market;investor attention’s impact on STAR stock market performance The impact of investor attention on the market performance of STAR stocks varies across companies.