Our objective is to explore the correlation between stock market and investors’ attention in China’s stock market through empirical analysis method. We use search volume (SV) to represent individual investors’ attention. We choose 1380 a-share stocks in SSE and SZSE from 2008 to 2011. After summarizing time series data of different cross-sections, we get the panel data. According to the fixed effect analysis of panel data, we find that SV can react the changing of individual investors’ attention. An increase in SV predicts higher volume and transaction amount in this week but turn down in the next week in all four years. And the price has the same fluctuation in 2010 and 2011. This is an abnormal phenomenon that more investors pay attention to one stock making its price get lower after a short increase. Through comparing with the analytical result of American, we predict that there will be a stock control and illegal cash in Chinese stock market. The different analytical results between Chinese and American stock market indicated that our stock supervision system is still not perfect.