西安理工大学金融硕士专业学位论文
engines. Internet search engines have completely changed the way for modern people to obtain
information. The way for people to obtain information from traditional media and word of mouth
has changed to active search for interested information through internet search engines. Therefore,
this paper takes Baidu index as the proxy variable of investors' concern, and through establishing
vector autoregressive model and panel regression model, deeply analyzes the internal influence
and mechanism between investors' concern and GEM index and individual stock volatility. The
empirical results show that investors' concern has a significant positive impact on index and
individual stock volatility, but large-cap stocks dominated by institutional investors have a
stabilized effect on index volatility, which can be quickly repaired. At the same time, it is
concluded that over-trading plays a partial mediating role in the influence of investors' attention on
the fluctuation of GEM stocks. Finally, in order to deeply explore the differences between the
above indexes and individual stocks, we classify individual stocks differently, and continue to
explore the influence of investors' attention on the stock price fluctuation of GEM stocks by using
the differences in scale, liquidity and trading environment after the reform of GEM.
Key words: Baidu index；Investor attention；fluctuation of stock price；mesomeric effect
IV
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