The purpose of this study is to explore the relationship between “limit attention” and stock market. What market factors associated with limited attention, and these factors for investors whether the investment behavior of real impact. In this study, we divid the investors to individual and institutional and trading volume, return and news as proxy for attention. Taiwan's stock market is the subject. Discuss the relationship between limit attention and the investment behavior of investors. Our empirical results indicate that return and news is significant positively related to buying behavior of individual investors; volume is significant positively related to buying behavior of institutional investors. In addition, return and news is significant negatively related to buying behavior of institutional investors. The results showed that both individual investors or institutional investors trading behaviors will be affected by the attention.