Empirical Study on the Relationship between Investors’ Attention and Individual Stock Returns in the Chinese Stock Market ()
ABSTRACT
Investors’ attention to information plays an important role when
investors make investment decisions. Individual investors analyze and judge the
information that attracts their attention and adjusts their
investment behavior, which leads to temporary pricing deviation. This paper
uses abnormal trading volume as an indicator to measure the degree of
investors’ attention to individual stocks, and uses panel data model and vector
autoregressive model (VAR) to study the relationship between investors’ attention
driven trading and stock return volatility. The empirical study finds that
investors’ attention has a significant positive impact on the current stock
returns. When the investors pay more attention to the specific stocks, it will
cause the net buying behavior, and the stock price will rise, leading to the
increase of the current stock yield. Unlike the short-term effect of investors’
attention on stock returns, the impact period of stock returns on investors’
attention is relatively long. The influence period of stock returns on
investors’ attention lasts about three weeks according to the empirical study.
Share and Cite:
Chi, L. and Liang, L. (2022) Empirical Study on the Relationship between Investors’ Attention and Individual Stock Returns in the Chinese Stock Market.
Open Journal of Social Sciences,
10, 138-148. doi:
10.4236/jss.2022.109009.
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