Market Participant Sentiment and Market Pricing Efficiency: Empirical Research Based on Large-Cap Stocks and Small-Cap Stocks

This article takes the CSI 300 Index stocks and the CSI 500 index stocks in China's A-share market as research objects, and uses crawler technology to crawl the number and content of stock bar postings and quantify the results. As a variable to measure investor attention and sentiment, the results empirically analyze the impact of investor attention on the synchronization of stock prices and the difference between optimism and pessimism. We Regard the CSI 300 index as a representative of blue-chip large-cap stocks, and the CSI 500 constituents as a representative of small and medium-cap stocks, and investigate the impact of investor attention on stock price synchronization in the blue chip sector and in the small and medium sector. The conclusion proves that stocks with higher investor attention have lower stock price synchronization, and optimism is more effective in reducing stock price synchronization than pessimism, and this phenomenon is more pronounced in small and medium-cap stocks.