Research on the Reversal Effect of Stock Market Liquidity from the Perspective of Investor Attention

Abstract

Abstract:

The change of stock market liquidity is an important reflection of previous financial crises. Investor attention is the premise on which information transfers to stock market and triggers liquidity change. This paper takes Chinese stock market as the research object and analyzes the reversal of liquidity from the perspective of investors' limited attention. The study finds that there is an asymmetric rela-tionship between investor attention and stock market liquidity in different market cycles of bull market, bear market and shock consolida-tion. Further analysis of the internal reason by threshold model is the adjustment of market state to investors' attention behavior. When the market state does not exceed the threshold, the investor attention is positively related to the stock market liquidity. When the thresh-old is exceeded, the relationship becomes negative. This paper enriches the relevant theories in the field of behavioral finance and pro-vides a new perspective for investors and relevant management departments.

Key words: investor attention, market liquidity, asymmetry, reversal effect

Liu Ying, Zhang Qingqing, Dong Jichang. Research on the Reversal Effect of Stock Market Liquidity from the Perspective of Investor Attention[J]. , 2020, 32(1): 13-28.

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