Analysis Of The Influence Of Investors' Attention To A-stock Market Based On Baidu Index

For a long time,finance behavioral scholars have always been very interested in investors' attention,because they think investors' attention will have a certain impact on their investment decisions and further affect the listed company and even the entire stock market.After entering the 21st century,with the popularity of Internet applications,the amount of social information is increasing exponentially,but there is no big change that individual can only consume the limited amount of information,the rich information led to the scarcity of attention and this contradiction highlights the criticality of attention allocation.Quantifying the attention accurately is very difficult because attention is a subjective and ive object,which leads the further study on attention to bottleneck.The emergence of search engines,allowing investors to search for information from the vast amounts of information in a very short period of time and at a very small price,which radically changed the access to information channels means.At the same time,the search engine also records the investor's search behavior,which provides a direct and accurate measure of investor attention.In China,Baidu is the most widely used search engine,so use Baidu Index to measure investors' attention can more accurately reflect the subjective attention of investors to something,which has brought the dawn to the research area between the stock market and investor psychology,and also make the research results of theory of attention in the capital market more explanatory and predictive.Accordingly,based on related research literature of Internet data,using Baidu Index as the proxy variables of investors attention and selecting the data between January 2015 to December 2016 of all listed a-share companies in the Shanghai Stock Exchange as the research object,puts forward theoretical assumptions and builds the regression model,to investigate the influence of investors' attention on the liquidity and returns of China's a-share market.Hoping that can help investors to improve their investment decisions,effective asset allocation and risk management;Help the listed company to better understand investors'attention on interest,better manage the investors' relation;At the same time for the government and regulatory authorities to better understand to the attention of the market,thus to monitor these hot industry or stock,enhance market transparency,promote the healthy and orderly development of China's financial industry.