投资者有限关注与股票收益——以百度指数作为关注度的一项实证研究

Limited Attention and Stock Performance:An Empirical Study Using Baidu Index as the Proxy for Investor Attention

搜索引擎是当今人们获取信息的入口,百度指数反映了关键词被搜索的次数,直接衡量着投资者的有限关注。本文实证检验了百度指数和创业板股票市场表现的相关性,在此基础上,验证了投资者有限关注能影响股票的市场交易活动。投资者的有限关注能给股票带来正向的价格压力,而这种压力会很快发生反转。本文还利用百度指数逐日可测的优点,研究发现非交易日的投资者关注将显著影响下一交易日股票集合竞价时的价格跳跃。

We propose a direct measure of investor attention using Baidu Index. In a sample of Growth Enter- prise Market, we find the investor attention can affect the stock market performance with this proxy of investor attention. An increase in Baidu Index predicts higher stock price in that day and an eventual price reversal in the next few days. It also contributes to the jump of stock price in call auction.