百度关注度指数与股票价格关系研究

On Relationship between Baidu's Attention Index and Stock Price

针对投资者有限关注与股票市场的联动作用进行了分析,回顾了关于传统金融学理论和现代金融学理论的国内外文献,并且比较了两者的区别.介绍了有限关注以及目前的几种理论模型,根据模型得出个体注意力是有限的,投资者风险认知不足会直接影响关注行为.基于传统的投资者关注度代理指标包括换手率、交易量等,利用互联网提供的代理变量可以更直接地反映投资者的关注行为,因此研究选取百度指数作为投资者关注行为的代理变量,当投资者在搜索该股票的信息时,无疑表示投资者对这支股票产生了关注.百度指数提供的关键词被检索的次数,更加直接地反映了投资者对某只股票的关注度,百度指数提供的数据也会驱动投资者的交易行为,从而引起股票价格的波动.通过建立VAR模型、格兰杰因果检验和脉冲响应函数分析对投资者关注行为和股票收盘价之间的关系进行实证分析,结果显示,投资者的关注行为与股票收盘价之间存在一定的影响.

In his paper, the contact between limited attention index of investors and the stock market has been analyzed, the literature reviewed, and the differences between traditional and modern financial theory compared. The limited attention and modern theoretical models have been introduced, which support them according to the model. The lack of risk perception of investors can directly influence their behaviors. Comparing with traditional proxy indicators of investor attention including exchange rate, volume, and so on, proxy indicators provided from the Internet can reflect the concerns of investors more directly. Baidu index is used as a proxy variable for the attention of investors. When investors are searching for information about the stock on the Internet, undoubtedly, it means that they concern with this stock. The number of retrieved keywords provided by Baidu index directly reflects the attention investors. Baidu index will also affect investors' transactions and lead to the stock market volatility. In order to analyze the relationship between the attention of investors and the price of the stock, we establish the VAR model, Granger and Impulse Response Function. The result shows that there is a relationship between the attention of investors and the stock market.