牛市和熊市下投资者关注对股票收益影响的非对称性分析

The Asymmetric Effect of Investor Attention on Stock Returns in Bull and Bear Markets

本文利用百度指数搜索量数据作为投资者关注代理指标,实证研究了牛熊市下投资者关注对股票收益的非对称影响。研究发现,在牛市、熊市和震荡市等不同市态下,投资者关注对股票市场表现的影响存在显著的非对称性。牛市中投资者关注与股票市场指标之间的相关性以及对个股交易活跃程度的正向影响都要大于熊市;牛市中投资者关注对当期股票价格造成的正向压力也要大于熊市,但随后的价格反转程度却要小于熊市。我们认为,这些非对称效应主要由投资者的非理性因素所造成。

By using Baidu Index as a proxy of investor attention, we not only verify the Price Pressure Hypothesis of Barber and Odean（2008）, but also further find that investor attention has an significant asymmetric effect on stock performance in different market stages. We find the positive correlation between investor attention and stock performance indicators and the positive influ- ence on the degree of trading activity are higher than those in bear market, and the attention-driven positive pressure on current stock price is greater than that in bear market, but the degree of later price reversal is less than that in bear market. We argue that this asymmetric effect is caused by investor irrationality.