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Chinese Journal of Management Science ›› 2022, Vol. 30 ›› Issue (7): 9-19.doi: 10.16381/j.cnki.issn1003-207x.2019.2148

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Investor Attention and Covariance Forecasting in China’s Stock Markets——A Study Based on the MHAR Type Models

QU Hui, SHEN Wei   

  1. School of Management and Engineering, Nanjing University, Nanjing 210093, China
  • Received:2019-12-26 Revised:2021-05-25 Online:2022-08-05 Published:2022-08-05
  • Contact: 瞿慧 E-mail:linda59qu@nju.edu.cn

Abstract: Economic facts disclose that investors are not completely rational. On the one hand, investors can’t possess all the information in the financial markets due to limited attention, which causes the under-reaction of prices to some information. On the other hand, some information may induce investors’ over attention and over trading, which results in more noises in the price signals. These may cause temporarily mispricing of stocks, which generates volatility and correlation in the market.

Key words: realized covariance; the MHAR-DRD model; Baidu index; individual investor attention; asymmetric influences

CLC Number: