Abstract
We propose a new method to measure the investor attention paid to a specific industry using search data from search engine. Instead of taking company names or stock codes as keywords, we select keywords from a corpus of texts concerning a given industry by text-analysis technique such as TextRank algorithm. Two indices were constructed by principal component analysis method, including a positive index and a negative index. The empirical analysis demonstrates that the influence of investor attention on market liquidity is coincident and significant, and the effect on industry stock index return is less significant.
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