We propose a direct measure of investor attention using Baidu Index. In a sample of Growth Enter- prise Market, we find the investor attention can affect the stock market performance with this proxy of investor attention. An increase in Baidu Index predicts higher stock price in that day and an eventual price reversal in the next few days. It also contributes to the jump of stock price in call auction.
NETL
NSTL
万方数据
维普
