The Role Of Investor Attention In Listed Companys' Stock Performance

Traditional asset pricing theory assumes that stock prices can quickly respond to new information in the market,which requires information spread without friction and investors can handle any public information in time and without any cost.But in reality the limited time and resources to all investors will limit them to analyze all information in the market.More than 80% of the Chinese stock market trading are completed by individual investors,who don't usually use professional financial software like Bloomberg.Therefore they will attracted to some stock just because they only know these stocks.This paper studies the effect of hexun attention index on stock returns and trading in the short run.We use hexun attention index as proxy for investor attention and select stock in CSI 100 INDEX,ChiNext PRICE INDEX and SZSE SME Price Index from July 1st,2015 to September 30 rd,2015.We document three results.First,there are positive correlation between hexun attention index and the stock market abnormal performance,such as the stock abnormal returns and abnormal trading volumes.Second,an increased level of investor attention is associated with a larger contemporary stock return and a smaller future stock return.It's more significant when we use data in ChiNext PRICE INDEX.Third,an increased level of investor attention is associated with a larger contemporary stock return.It's more significant when we use data in CSI 100 INDEX.