Quantifying the effect of investors' attention on stock market | |
Yang, Zhen-Hua1,3; Liu, Jian-Guo2,4; Yu, Chang-Rui1; Han, Jing-Ti2 | |
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). |
个性服务 |
查看访问统计 |
相关权益政策 |
暂无数据 |
收藏/分享 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论