Fig 1.
Illustration of investors’ attention of the stock market on 2017-03-04.
This figure gives an illustration of investors’ attention of stock market column on 2017-03-04. This figure is intercepted from the stock trading platform named Choice, available online at http://choice.eastmoney.com/. As shown, it mentions the top stocks chosen by investors into their watch lists on this stock trading platform on 2017-03-04, the increments and the ranking trend of investors’ attention. In fact, we can get the increments and the ranking trend of investors’ attention of each stock in every trading day in mainland China by collaborating with the eastmoney.com. Please note that the data publishes at 0 o’clock at the same trading day on the stock trading platform.
Fig 2.
Illustration of the hypotheses structures presented in this paper.
Fig 3.
The illustration of the correlation between the CSI100 returns and the investors’ attention measured by the BI and IAVS for the day.
The subplots (a)-(c) show the time series of Z-score of the returns of CSI100, the BI and the measure IAVS respectively, from which one can find that the measure IAVS correlates with the returns of CSI100 more closely. The Z-score is calculated in the way z = (x − μ)/σ, where x, μ and σ denote the original, mean value and standard deviation. We only consider trading days of the stock market, so there is no data in weekends and holidays.
Table 1.
Description of variables.
Table 2.
Results of the regression modeling with CSI100.
Table 3.
Results of the regression modeling with CSI500.
Table 4.
Results of the regression modeling with CSI-ALL.