个体投资者关注度对股票市场的羊群效应的影响研究

Research on the Influence of Individual Investor Attention on the Herd Effect of the Stock Market

文章采用百度指数衡量个体投资者关注,构造了衡量个体投资者羊群效应强弱的指标对中国A股市场的表现进行实证研究.实证结果表明个体投资者关注度对股票市场羊群效应具有显著的正向影响;当股票出现涨停或跌停时,个体投资者关注对股票市场羊群效应的正向影响会更显著;小市值公司个体投资者关注对羊群效应的影响程度更显著.稳健性检验结果表明研究结论具有良好的稳健性.

This paper investigates the effect of individual investor attention on the herding effect of China's stock market.Using Baidu Index as a proxy of individual investor attention and constructing an indicator to measure the strength of individual investors' herding effect,this paper conducts an empirical study on the performance of China's A-share market from 2017 to 2021.The empirical results show that:1)Individual investor attention has a significant positive impact on the herd effect in the stock market;2) individual investor attention will have a more significant positive impact on the herd effect in the stock market when the stock reaches the limit up or down;3) small-cap companies individual investor attention has a more significant impact on the herd effect.The robustness test results show that the conclusions are robust.