Investor Focus On Measure And Its Impact On Stock Market Specific Revenue

IN traditional financial studies, attention from investors has been considered to be continuing, and is able to digest all kinds of information and reflect it in the prices of assets. But in reality, this is not the case. The attention of investors is limited, there is a difference between active and passive investor attention, and therefore cannot digest all the public and non-public market information instantly. Research concluded that investor attention played an important role in the process of the formation of security prices. In China’s capital market, there are lots of arbitrage speculation behaviors based on investor attention. In order to better measure of investor attention and to understand investor attention’s impact on the stock market, this paper introduces a new proxy variables-Google Search Volume Index, as investors active attention; same time, uses crawl program to get information from traditional newspapers to get the media data, used the amount of news coverage index as the proxy variables for passive investors attention, explore the relationship between the investor attention and particular profits of stock market.Firstly, we analyze the relationship of searching volume index, news coverage and other proxies for investor attention. Next, based on samples from A-share market and IPO samples beginning from June2004, we analyze the relationship between investor attention and stock market prices, especially investor attentions’impact on stock market prices. The findings are:there is a negative relationship between investor active attention and investor passive attention, and there is a path for online and off-line transaction, investor attention does have a huge impact on stock prices, but the effect is not the same. Before IPO, in the range of one month, investor active attention is more useful for forecasting, but during the two to three weeks before IPO, investor passive attention is more useful for forecasting.The conclusions of this paper can help retail investors to better understand Chinese stock market and have a cool mind when in a hot market, meanwhile, they can be helpful for administrative authorities and regulate information disclosure thus build a mature and regulated Chinese capital market.