Abstract
With the development and application of Internet technology, investors usually use Internet search engine to investigate the corporation and related information before making investment decision. As a result, Internet search engine has become an indicator of investors’ attention. This paper uses FinTech Baidu index derived from Baidu public platform to measure investors' attention, as well as FinTech index from Shenzhen stock exchange, whose index code is 399699. SZ. The index data covers a date range from June 9, 2017 to June 30, 2019. Empirically, this paper discusses the impact of online attention on the stock returns of financial science and technology sector. A vector auto-regressive (VAR) model is built to reveal the correlation between Fintech investor attention and its sector returns. Furthermore, the granger causality, impulse response and variance decomposition are analyzed. Granger causality test result indicates that FinTech investor attention is the granger cause of the stock returns of Fintech sector, and conversely the stock returns of Fintech sector are not the cause of FinTech investor attention. That is, FinTech online attention has a certain impact on the stock returns of Fintech sector. Impulse response indicates that the impact of FinTech online attention is positive, but the effect lasts in a short term. The conclusions play an important role for investors to understand the hotspot attention on FinTech which is a new emerging market investment opportunity, and provide a general knowledge about the relation between Fintech attention and market returns.
Highlights
In recent years, the research of behavioral finance is in the ascendant as a branch of economics
The results show that the increase of Internet search volume will lead to an increase in the return of concept stocks, i.e. Baidu index has a significant positive correlation with stock returns
The experimental results show that FinTech online attention has a certain impact on the stock returns of Fintech sector, the positive impact will last 4 periods and disappear in the long run
Summary
The research of behavioral finance is in the ascendant as a branch of economics. FinTech, as a larger and more far-reaching development of Internet finance, integrates finance with technologies such as big data, artificial intelligence and block chain. As can be seen from figure 2, with the popularization of financial technology in life, internet users are paying more and more attention to Fintech. New technologies such as big data, artificial intelligence, block chain and cloud computing are pushing Fintech to a new stage of development. It will promote the transformation and reform of China's financial industry. It is of great significance to study the impact of investors' attention on the stock price of the Fintech sector
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