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“Investor attention fluctuation and stock market volatility: Evidence from China”

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  • Taiji Yang
  • Siqi Zhuo
  • Yongsheng Yang

Abstract

This paper examines the linkage between Chinese stock market volatility and investor attention fluctuation. In Heterogeneous autoregressive (HAR) model, first, we analyzed the linkage between both decomposed and undecomposed stock market realized volatility and investor attention fluctuations across full-sample and two-year moving window sub-samples. Second, we compare the predictive power of four models in short-, medium-, and long-term volatility forecasting. Empirical results show large positive attention fluctuation amplified Chinese stock market volatility after the outbreak of COVID-19, and negative small attention fluctuation significantly stabilized stock market volatility before COVID-19, and the impact dwindled in after COVID-19. The model incorporating decomposed realized volatility and decomposed attention fluctuation performs better in volatility Forecasting. This research underscores a shift in the dynamics between stock market volatility and investor attention fluctuations, and investor attention fluctuation improves the volatility forecasting accuracy of the Chinese stock market.

Suggested Citation

  • Taiji Yang & Siqi Zhuo & Yongsheng Yang, 2023. "“Investor attention fluctuation and stock market volatility: Evidence from China”," PLOS ONE, Public Library of Science, vol. 18(11), pages 1-15, November.
    • Handle: RePEc:plo:pone00:0293825
    DOI: 10.1371/journal.pone.0293825
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    References listed on IDEAS

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