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Keywords

Baidu Index, online search volume, investor attention, VAR, Shanghai Securities Index Composite

Abstract

Web search volume based on Baidu index keywords is an effective proxy variable used to measure investor attention.Changes in investor attention will have an impact on the Shanghai Stock Index.The empirical research based on the VAR model in this paper found that:the return of the Shanghai Securities Composite Index is significantly affected by the return of the Shanghai Securities Composite Index and the volatility of investor attention.The volatility of investor attention is significantly affected by the volatility of investor attention in the previous period, and the return of the Shanghai Securities Composite Index is not significant.The lag period of VAR model selection with different keyword search volume as the proxy variable of investor attention is different,but the final conclusions obtained by reasonable keyword selection are similar.The return rate of Shanghai Securities Composite Index with one period lag and the volatility of investors'attention in the first and second periods have a significant positive impact on the current return rate,while the return rate of the Shanghai Securities Composite Index with two lagging periods has a significant negative impact on the current return rate.

DOI

10.16315/j.stm.2020.06.011

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