Quantifying the effect of investors' attention on stock market

doi:10.1371/journal.pone.0176836

CORC > 上海财经大学 > 上海财经大学

	Quantifying the effect of investors' attention on stock market
	Yang, Zhen-Hua 1,3; Liu, Jian-Guo 2,4; Yu, Chang-Rui 1; Han, Jing-Ti 2
刊名	PLOS ONE
	2017-05-23
卷号	12 期号:5
ISSN号	1932-6203
DOI	10.1371/journal.pone.0176836
英文摘要	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.
WOS研究方向	Science & Technology - Other Topics
语种	英语
出版者	PUBLIC LIBRARY SCIENCE
WOS记录号	WOS:000402058800004
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2787]
专题	上海财经大学
作者单位	1.Shanghai Univ Finance & Econ, Sch Informat Management Engn, Shanghai 200433, Peoples R China; 2.Shanghai Univ Finance & Econ, Data Sci & Cloud Serv Res Ctr, Shanghai 200433, Peoples R China; 3.Huzhou Univ, Business Sch, Huzhou 313000, Peoples R China; 4.Fribourg Univ, Dept Phys, CH-1700 Fribourg, Switzerland
推荐引用方式 GB/T 7714	Yang, Zhen-Hua,Liu, Jian-Guo,Yu, Chang-Rui,et al. Quantifying the effect of investors' attention on stock market[J]. PLOS ONE,2017,12(5).
APA	Yang, Zhen-Hua,Liu, Jian-Guo,Yu, Chang-Rui,&Han, Jing-Ti.(2017).Quantifying the effect of investors' attention on stock market.PLOS ONE,12(5).
MLA	Yang, Zhen-Hua,et al."Quantifying the effect of investors' attention on stock market".PLOS ONE 12.5(2017).