Quantifying the effect of investors' attention on stock market

Zhen-Hua Yang; Jian-Guo Liu; Chang-Rui Yu; Jing-Ti Han

doi:10.1371/journal.pone.0176836

Quantifying the effect of investors' attention on stock market

PLoS One. 2017 May 23;12(5):e0176836. doi: 10.1371/journal.pone.0176836. eCollection 2017.

Authors

Zhen-Hua Yang^{1

2}, Jian-Guo Liu^{3

4}, Chang-Rui Yu¹, Jing-Ti Han³

Affiliations

¹ School of Information Management Engineering, Shanghai University of Finance and Economics, Shanghai 200433, PR China.
² Business School, Huzhou University, Huzhou 313000, PR China.
³ Data Science and Cloud Service Research Centre, Shanghai University of Finance and Economics, Shanghai 200433, PR China.
⁴ Department of Physics, Fribourg University, CH-1700 Fribourg, Switzerland.

Abstract

The investors' attention has been extensively used to predict the stock market. Different from existing proxies of the investors' attention, such as the Google trends, Baidu index (BI), we argue the collective attention from the stock trading platforms could reflect the investors' attention more closely. By calculated the increments of the attention volume for each stock (IAVS) from the stock trading platforms, we investigate the effect of investors' attention measured by the IAVS on the movement of the stock market. The experimental results for Chinese Securities Index 100 (CSI100) show that the BI is significantly correlated with the returns of CSI100 at 1% significance level only in 2014. However, it should be emphasized that the correlation of the new proposed measure, namely IAVS, is significantly at 1% significance level in 2014 and 2015. It shows that the effect of the measure IAVS on the movement of the stock market is more stable and significant than BI. This study yields important invest implications and better understanding of collective investors' attention.

MeSH terms

Attention*
China
Humans
Internet
Investments* / trends
Models, Economic*
Regression Analysis

Grants and funding

This work is supported by the National Natural Science Foundation of China (Nos. 61374177, 71371125 and 71271026), the Project of Teaching Reform for Higher Education in Zhejiang Province (No:kg2015409), JGL is supported by The Program for Professor of Special Appointment (Eastern Scholar) at Shanghai Institutions of Higher Learning, Supported by Shuguang Program Project of Shanghai Educational Committee (Grant No.14SG42), and the Sino Swiss Science and Technology Cooperation(No. 09-032016).