Analysis Of The Relationship Between Investor Attention And Stock Return Based On PVAR Model

The emerge of behavioral finance shows that the realistic financial market has been no longer met the Efficient Market Hypothesis(EMH),which is claimed by mainstream financial experts.It is not impossible to find out some useful investment strategies to beat the market when the stock market becomes inefficient.We can seek out effective ways naturally by considering investors'psychological factors,because behavioral finance has taken psychological research results as a part of the basic ideas of financial research.Investors' psychological factors,however,can't be observed and recorded,which means that although we find an effective investment strategy based on the investors' psychological behaviors,it will only have theoretical meanings instead of practical meanings.But fortunately,the rapid development and popularity of the internet makes it possible to recognize and record investors' psychological factors.Investors' attention is a typical case of screening and recording the psychological characteristics of investors utilizing internet techniques.In our paper,we attempt to use internet techniques to analyze the relationship between investors' attention and stock return in order to lay a solid foundation for seeking out effective investment strategies to beat the market.We first comprehensively and systematically teasing out the relative references,then discuss the factors causing investors' cognitive bias and bounded rationality based on the assumption that investors' capability of collecting and processing information is limited.Also,by maximizing the collecting and processing efficiency of information,we discuss the attention allocation problem and explain the attention mechanism and the psychological characteristics.Based on this,we then analyze the relationship between investors' attention and stock return,taking Hexun attention,an accurate and typical representative of investors' attention,as the measure of investors' attention and using the data of the whole stock market in China.We develop PVAR model for the whole data of stock market in China,we also develop PVAR models for multi-layer market structure,which divides the whole data horizontally into three parts,and for different stages of stock market,which divides the whole data longitudinally into two parts.We obtain three conclusions.First,investors' attention is an important factor of stock return,but the effect of investors' attention has time lag.Second,in main-board market,small and medium enterprise(SME)board market and growth enterprise market(GEM),the effects of investors' attention on stock return are significantly different.The effects in main-board market and GEM are positive and sensitive,however in SME board market,it is negative and insensitive.The time lag of the effect in main-board market seems longer compared with SME board market and GEM.Third,in different stages of stock market,the effects are different either.In the "Bull-Market",this effect is negative and sensitive,on the contrast,it is positive and insensitive in the "Bear-Market".