Investors Attention and the Effects on Stock Market: An Empirical Study Based on Stock Forum

This paper studies the relationship between China stock market performances and investors' attention, where the attention is measured by the page view of China's largest stock forum. The results show that trading volume, intraday volatility and liquidity have positive effects on investors' attention, while the effects of stock return to the attention is not significant. Finally, we demonstrate that investor attention is a significant alpha factor by using supervised learning algorithm.