Empirical Reserch On The Impact Of Investor Attention On The Restructuring Shares

The theory of modern financial assets contains several classical assumptions: rational people,effective information and homogeneous subjects.That is,in the financial market,investors can obtain all effective information at zero cost and make reasonable decisions based on information analysis.Endowments,risk preferences,etc.are exactly the same.In fact,these assumptions cannot be satisfied.There are problems in financial markets that cannot be solved by financial theory.In recent years,limited attention has been seen as a breakthrough in solving financial visions that cannot be explained by traditional finance,and it has aroused the extensive research enthusiasm of modern finance scholars.During the research process,scholars set up a series of indicators to measure investor attention.This article uses Baidu search index to build investor attention indicators based on existing scholars to study the influences.of investor's attention to the market performance of China's restructured stocks.This article uses the SME stock market of China from March 7,2016 to March 7,2018,which were successfully reorganized as samples.The top 20 trading days after the resumption of trading are selected as time intervals,and the Baidu Index is collected manually.Individual stock search volume as investor attention data,stock trading data from WIND terminal to download and organize,make up panel data according to the time window.Combined with Fama's three-factor theory,the re-introduction of investor attention variable was used to build a regression model,and then the fixed effect model was finally determined based on the F-test and Husman test results to test the impact of investor attention on the resumption of the resumption of shares.According to empirical results,the degree of investor attention in the current period is positively related to the rate of return,trading volume,and turnover rate after resumption of the restructured stock,and inversely proportional to the volatility and liquidity of the repurchased stock after resumption.There is a significant positive correlation between the degree of investor attention during the suspension and the first day opening price of resumption.The above conclusions can provide guidance for small and medium-sized investors to invest in the restructured shares reasonably,and provide a new breakthrough for theregulatory authorities to formulate policies to protect the interests of small and medium-sized investment groups based on the degree of attention.