IEEE Access (Jan 2020)
An Empirical Study on the Influence of Internet Attention on the Performance of Individual Stocks in the Securities Market Under the Environment of Big Data
Abstract
In the era of big data, the impact of the massive public opinion information generated by the Internet on the securities market has become a factor that can't be ignored in investment decision-making and supervision. Under the influence of these factors, investors are influenced and restricted by psychology, self-cognition and limited attention, which will make them pay different attention to stocks, which spread to the securities market, and then have an impact on the market performance of individual stocks. This paper selects big data's public opinion information from securities websites, authoritative media data and mainstream social networking sites designated by China Shenzhen Stock Exchange to quantify the Internet attention index. According to different subjects and angles, it is divided into: media attention, netizens' attention, public opinion attention. Based on these three kinds of attention index data, this paper establishes the panel regression model and the GARCH (1, 1) model of the influence of different subject attention on individual stocks, and introduces abnormal media attention, abnormal netizens' attention, abnormal public opinion attention, lag attention and change of attention into the model to empirically test the three main market manifestations of individual stocks, namely, earnings, liquidity and volatility. Through comprehensive analysis and research, this paper discusses in detail and comprehensively the internal mechanism of the influence of Internet attention on the performance of individual stocks in China's securities market under the environment of big data. The conclusion of the study provides a reference for investor decision-making, market capitalization maintenance of listed companies and supervision of financial institutions.
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