Relationship between Excessive Stock Price Fluctuations and Investors’ Attention—Based on Over-attention Underperformance

Abstract

China A-share market is a stock market without shorting mechanism where the individual investors play an important role. The study attempts to find out the relationship between the attention of individual investors and the excessive fluctuation of the share price in Chinese stock market. Also, the research objective is to identify the existence of Over-attention Underperformance in Chinese stock market. The research is based on Multiple Linear Regression with the samples comprising behavioral data from Xueqiu.com, the biggest online stock forum in China. The research result confirms the existence of Over-attention Underperformance. Besides, the result shows that it’s individual investors, rather than institutional investors, that dominate the Overattention Underperformance in stock markets. The innovation of this paper is distinguishing individual investors from institutional investors in analysis.