The Test of Feedback Mechanism between Public Attention and Stock Market Performance in China

摘要

In this paper, the explosive behavior in China's stock market was studied based on the data from 2012 to the spring of 2015. Following the proposal of the potential feedback relationship between stock market performance and its public attention by Robert Shiller, now with the available quantitative data of public attention, we are able to find the empirical evidence for their relationships. Rolling ADF bubble test was used to divide the sample into explosive and non-explosive parts, and granger causality test was implemented to detect the hypothesized feedback mechanism. The result supports the hypothesis that increase in stock market performance will cause an increase in public attention and vice versa.