This paper selects the stock data of 18 industries based on the CSRC industry classification from June 2016 to 2018 from the Shanghai Stock Exchange and conducts two tests. (1) The time series test proves that the β values of different industries show significant differences, and there are β values that are negatively correlated with the market rate of return. (2) The cross-sectional data test proves that the CAPM is far from effective for Shanghai Stock Market.
Abstract. We use the number of posts of sample stocks in CSI 300 Index dated from 2009 to 2013 in the Oriental Fortune Forum to measure investor attention in Chinese stock markets and analyze the interaction between this attention and stock prices. We find that (1) stocks are held by optimistic investors in Chinese stock markets which lack the mechanism of short sales; (2) a fall in share price results less attention to stock markets on account of the departure of such investors. On the contrary, optimistic investors who are overconfident continually join in the stock markets and pay more attention to the markets as the stock prices go up, leading to a further rise in the stock prices.
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