Research into the Interaction between Investor Attention and Stock Prices

Abstract

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.