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

LI Xiao, HAN Ruidai, LI Yue

Journal of Systems Science and Mathematical Sciences ›› 2023, Vol. 43 ›› Issue (7) : 1741-1769.

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Journal of Systems Science and Mathematical Sciences ›› 2023, Vol. 43 ›› Issue (7) : 1741-1769. DOI: 10.12341/jssms22463

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

  • LI Xiao1, HAN Ruidai1, LI Yue2
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Abstract

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.

Key words

Herding behavior / investor attention / baidu index / LSV mode

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LI Xiao , HAN Ruidai , LI Yue. Research on the Influence of Individual Investor Attention on the Herd Effect of the Stock Market. Journal of System Science and Mathematical Science Chinese Series, 2023, 43(7): 1741-1769 https://doi.org/10.12341/jssms22463

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