The impact of attention heterogeneity on stock market in the era of big data

One direct driving factor of the stock market volatility is investors' attention to relevant enterprise stocks and their investment behaviors, which has been widely accepted by the scholars. The development of new media has a huge impact on user information behavior, and big data technology provides a reliable data source for user behavior measurement. In this paper, we select 770 stocks from China A-shares market during 2013-2016 as a sample, and analyze the impact of attention heterogeneity in information sources and time on the performance of the stock market. Our empirical results show that the attention from search engines (Baidu and 360) and from professional financial information platform (Hexun) is significantly positively correlated with trading volume on weekdays; however, the attention from microblog (Weibo) may be negatively correlated with trading volume on weekdays and not significant. The attention heterogeneity in time makes big differences in the prediction of short-term stock returns. This paper fills in the literature gaps regarding the impact of attention heterogeneity on the performance of stock market in the era of big data.