Research On The Relationship Between Investor's Attention And The Performance Of The GEM Stock Market

In the era of information explosion,people's attention has become a valuable scarce resource.The popularity and application of the Internet has changed the way people access to information,this information can be widely disseminated model also makes the amount of data was geometric growth in the state around us,to promote the community into the "big data age.The valuable information behind the huge data is the focus of the research of various industries in recent years.The emergence of Internet keyword search volume provides a visual and direct measurement method for the attention degree.The electronic business and other websites search the user history data Analysis of personalized recommendations for different individuals,is around us to capture the attention to reflect the typical application of user sentiment,linked to the field of financial investment,we can use this massive data processing capabilities,mining to investor sentiment And the current hot industry sectors,so as to forecast the trend of the stock market in order to obtain higher than the average return on market returns.Based on the above research background and significance,this paper studies the effect of investors' attention on stock market volume and price based on Baidu index.The results show that the high emotion under the high concern will promote the current stock price,The excess return will disappear and the stock price will return to the basic value gradually.Meanwhile,the high attention will also bring about the increase of the stock turnover and the turnover ratio.,But the rise in liquidity indicators will not reverse over time,because even if the late attention of premium income reversal,selling stock turnover and turnover will still increase.The market appears to the behavior of investors and hot topics for the mining of large data products,this year's high-yield once again from the practice of investor sentiment will be applied to the field of investment in the effectiveness and feasibility.Which proves that the ability of investors' attention to the returns of securities market provides many valuable references for the financial investment field,which provides a new direction for the improvement of capital asset pricing model and better simulation market,and also provides investors with more comprehensive The analysis of the capital market to optimize the stock picking strategy provides a reference.This paper is divided into five parts to elaborate and demonstrate the topic,the main contents are as follows:The first part is introduction.Including the research background,significance and literature review of this paper.The paper will focus on the research of this paper from the current market hotspot,and review the domestic and foreign scholars'classical research on data mining,investor sentiment,attention and stock market,And the logic relation of the related concepts is established.Finally,the article lists the innovation of the article,research and chapter structure.The second part,the theoretical basis.Including investor sentiment theory,attention theory,behavioral finance theory provides the basis and support for the hypothesis and empirical test.The third part,research design.Based on the theoretical analysis above,this paper puts forward the hypothesis of this paper,introduces the principle of variable design and the source of sample data,and builds the relationship between Baidu index and stock return,turnover and turnover.Empirical model.The fourth part,empirical regression analysis.According to the variable relationship formula,the regression analysis of the panel data by stata software is carried out.The result of the verification shows that the investor's attention is positively correlated with the current market price.The fifth part,research conclusion and prospect.As the last part of the text,the author summarizes the whole research of the article,and obtains the conclusion that the investor sentiment has a predictive effect on the stock market,and provides valuable reference for investors,supervisors and listed companies,and provides future research direction of the future.