The Market Microstructure Characteristics of Chinese Stock Markets based on Internet Search Indexes

Based on the trading and Internet search data of 2966 stocks from 2013 to 2016, this paper investigated the market microstructure characteristics of China's stock market. The cross-sectional regression and panel simultaneous regression models were established respectively to explore the impact of Internet attention on the return, liquidity, and volatility of China's stock market. The empirical results revealed that with the increase of Internet attention, the liquidity and return of stock market would both be improved, while for volatility, there was no consistent conclusion. In the short term, the increased Internet attention did not significantly affect the volatility of the stock market, but it would indeed reduce the volatility of the stock market in the long time.