Abstract
The relationship between investor attention and stock prices has been a topic of interest in economics. Previous studies have shown that the correlation relationship between the two changes with time. However, there are few studies to explore the time‐varying evolution of the relationship, as well as the transmission characteristics under important cycles. Thus, this paper is dedicated to discover the dynamic transmission characteristics of the correlation between investor attention and stock price. We selected the typical stocks of China’s energy industry, PetroChina and Sinopec, as the research objects, as they occupy a large market share and are representative. And the transaction data and attention data are used to build investor attention indicator. In order to reproduce the dynamic transmission process of correlation at different cycles, sliding time window and complex network are applied. The results show that PetroChina and Sinopec stocks have a weakly negative correlation between investor attention and stock price from 2017 to 2018. However, from the perspective of different cycles, the correlation has time‐varying characteristics. As the cycle grows, the types of transmission patterns of the five consecutive days of correlation between the two become less, but the transmission intensity between the modes increases and the transition becomes more regular and inclined. In addition, by mining the important transmission modes and main transmission paths under important periods, we find that the series modes of uncorrelated or weakly positive correlation for five consecutive days dominate the transition of modes in the networks. Also, the closed loop formed by these two important modes and related modes is the main transmission path. These findings can reveal the rules of the typical stock market in China’s energy industry and help investors with different investment cycle preferences make sound decisions.
Highlights
Among the major global stock markets, energy industry stocks occupy a huge market share
Our analysis is engaged from two aspects. e first is to observe the dynamic evolutionary characteristics of correlation between the two under different time periods. e second is to take the important periods as examples to reflect the characteristics of correlation transmission from vital transmission correlation modes and main transmission paths. is can help investors better understand the typical stocks of the Chinese energy market
Our purpose is to contribute to the literature on the research of the characteristics of the typical stocks of the Chinese energy stock market by discovering the transmission characteristics of relationship between energy stock investor attention and energy stock prices. e existing studies on investor attention and stock price mainly focus on the correlation between the two, the lead-lag relationship and the prediction effect of investor attention on the stock price
Summary
Among the major global stock markets, energy industry stocks occupy a huge market share. As a base nancial product, energy stock prices are in uenced by energy prices [8,9,10], in ation [11], interest and exchange rates [12], government policy uncertainty [13], and so on. These factors will lead to changes in investors’ behaviors, nally causing stock prices to uctuate by in uencing the relationship between supply and demand. He and Casey [15] held that investor sentiment had a substantial
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