Quantifying the effect of investors' attention on stock market.
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' att...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2017-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC5441604?pdf=render |
| _version_ | 1819065203673792512 |
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| author | Zhen-Hua Yang Jian-Guo Liu Chang-Rui Yu Jing-Ti Han |
| author_facet | Zhen-Hua Yang Jian-Guo Liu Chang-Rui Yu Jing-Ti Han |
| author_sort | Zhen-Hua Yang |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-21T15:42:44Z |
| format | Article |
| id | doaj.art-8309daac427840d587dea074e10319b5 |
| institution | Directory Open Access Journal |
| issn | 1932-6203 |
| language | English |
| last_indexed | 2024-12-21T15:42:44Z |
| publishDate | 2017-01-01 |
| publisher | Public Library of Science (PLoS) |
| record_format | Article |
| series | PLoS ONE |
| spelling | doaj.art-8309daac427840d587dea074e10319b52022-12-21T18:58:26ZengPublic Library of Science (PLoS)PLoS ONE1932-62032017-01-01125e017683610.1371/journal.pone.0176836Quantifying the effect of investors' attention on stock market.Zhen-Hua YangJian-Guo LiuChang-Rui YuJing-Ti HanThe 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.http://europepmc.org/articles/PMC5441604?pdf=render |
| spellingShingle | Zhen-Hua Yang Jian-Guo Liu Chang-Rui Yu Jing-Ti Han Quantifying the effect of investors' attention on stock market. PLoS ONE |
| title | Quantifying the effect of investors' attention on stock market. |
| title_full | Quantifying the effect of investors' attention on stock market. |
| title_fullStr | Quantifying the effect of investors' attention on stock market. |
| title_full_unstemmed | Quantifying the effect of investors' attention on stock market. |
| title_short | Quantifying the effect of investors' attention on stock market. |
| title_sort | quantifying the effect of investors attention on stock market |
| url | http://europepmc.org/articles/PMC5441604?pdf=render |
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