Research On The Impact And Prediction Of Investors' Macroeconomic Attention On Stock Price Fluctuation

After more than 30 years of rapid development,China’s stock market has become the world’s second largest stock market.However,compared with the mature capital markets in the West,China’s stock market still needs to be improved in terms of institutional norms.For many years,China’s stock market has been facing the problem of sharp rise and fall,which poses a huge threat to both the confidence in the capital market and the stable development of the national economy.Therefore,scholars have been committed to predict the volatility of the stock market more accurately,providing data and theoretical support for asset pricing,portfolio allocation,securities valuation,monetary policy formulation and risk management,so as to promote the sustainable and stable development of the national economy.As the "barometer" of macroeconomic,the stock market is closely related to macroeconomic fundamentals.With the gradual deepening of China’s financial market reform and the deepening of opening up,the stock market is becoming more and more sensitive to macroeconomic changes.Many studies have shown that macroeconomic factors such as GDP,consumer price index,money supply,interest rate and exchange rate are interdependent with the stock market.In order to obtain excess returns,investors will pay attention to the changes in the macro economy,which may lead to irrational behaviors such as overconfidence,frequent trading,disposal effect,herding effect,etc.,causing severe fluctuations in the stock market.In order to better understand how investors’ macroeconomic concerns affect stock price fluctuations,this paper will study the impact of investors’ macroeconomic concerns on stock price fluctuations from an irrational perspective based on behavioral finance,and hope to build a prediction model to better avoid the risks brought by investors’ macroeconomic concerns.Based on the existing literature,this paper focuses on the construction of investors’ macroeconomic concern index.With reference to the keywords selected by Fisher(2022)when constructing the macroeconomic concern index based on news information,this paper selects eight macroeconomic indicators(unemployment,monetary policy,output growth,inflation,housing market,credit rating,oil and US dollar)that have a significant impact on the volatility of stock prices,and first crawls the search volume of these eight macroeconomic indicators through Baidu Index,And(1)use the principal component analysis method to construct the first comprehensive index-investors’ macroeconomic concern index(MAI＿PCA);(2)The search volume of macroeconomic indicators is standardized and summed up to build a second comprehensive index-investors’ macroeconomic concern index(MAI＿Std).This paper selects the macroeconomic index search volume,Shanghai Composite Index,realized volatility,realized jump and other indicators from January 4,2011 to December 31,2021 for intra-sample estimation and out-sample prediction.The results show that(1)the higher the degree of investors’ attention to the macro economy,the stronger the volatility of stock prices.(2)The investor macroeconomic concern index constructed in this paper can improve the prediction ability of the stock price volatility model.On this basis,this paper further studies the impact of investors’ macroeconomic concerns on stock price fluctuations.The results show that:(1)investors’ macroeconomic concerns will be converted into trading volume to affect stock price fluctuations.(2)Compared with the bull market,when the market is in a bear market,the impact of investors’ macroeconomic attention on stock price fluctuations will be amplified.