投资者关注和股市表现——基于雪球关注度的研究

Investor attention and market performance: Evidence based on “Xueqiu attention”

利用雪球社区用户的自选股信息构建了日度超额雪球关注度指标.该新指标较现有指标能更直接、真实和准确的反映出个人投资者的关注水平.通过对超额雪球关注度和股票市场之间的关系进行验证,发现投资者关注会在短期内对市场价格形成压力并使交易量剧增.另外,进一步构建了同步关注、事前关注和事后关注的衡量指标并发现,同步关注对于股市的影响明显超过事前关注,股市指标对于事后关注的影响大于对同步关注的影响.另外,非交易期间的投资者关注会反映在下一个交易日的开盘价中.最后,构建了以超额雪球关注为交易信号的投资策略,发现策略组合的收益远远超过同期沪深300指数的表现.

This paper constructs a new measure of investor attention using the self-selection information from Xueqiu website,that is,AXQA（ abnormal Xueqiu attention）,which can capture the level of investor attention more directly and accurately. Through examining the relationship between AXQA and market performance,this paper finds that investor attention will result in short-term pressure on market price and trading volume.Besides,this paper constructs proxies for synchronous-attention,for pre-attention and for post-attention,and finds that synchronous-attention plays a more important role in determining market performance than pre-attention. However,market data influence post-attention more than synchronous-attention. Attention during nontrading period will be reflected in the opening price of the following trading day. Finally,this paper proposes a trading strategy based on AXQA,which performs much better than the CSI 300 index.