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近年来公开的搜索引擎关键词搜索量数据为研究个人投资者信息关注度提供了基础,但现有文献大多致力于分析投资者关注度对交易行为和股价的影响,极少研究投资者关注度的影响因素。基于289支沪深300成份股在2007.1.7-2010.2.6期间的谷歌关键词搜索量数据,我们构建非均衡面板固定效应模型,在控制了个股、行业和市场层面的股票特征变量之后,分析了历史交易信息变量对个人投资者关注度的影响,发现其对个人投资者信息关注度有着诸多明确的影响规律。
In recent years, the public search engine keyword search quantity data has provided the foundation for studying individual investors ’information attention degree. However, the existing literature mostly focuses on analyzing the influence of investor attention on the trading behavior and the stock price, and seldom investigates the investors’ attention The impact of factors. Based on the Google keyword search data of 289 Shanghai and Shenzhen 300 constituent stocks during the period from July 1, 2007 to October 10, 2007, we construct a non-equilibrium panel fixed-effects model. After controlling for the stock characteristic variables of stocks, industries and markets, The influence of historical trading information variables on individual investors ’attention and found that it has a lot of clear influence rules on individual investors’ information attention.