| Finance models generally assume that investors’ cognitive resources are infinitive,therefore investors always allocate enough attention to the financial market.A large body of psychological literature,however,shows that there are limits to the central cognitive-processing capacity of human brain.Limited attention determines that human beings can only focus on those that cause their own concern,while ignoring those who have received less attention.As many as 2,800 shares are currently listed on the Shanghai and Shenzhen Stock Exchanges,it is difficult to analyze each stock reasonably and accurately and to make the right investment decisions.Therefore,investors have to focus their attention on stocks that interest them.In this situation,the Billboard Incidents can effectively reduce the cost and scope of investors to collect information,causing investors’ limited attention,resulting in changes in investor behavior.Therefore,the rocket list events can affect investors’ attention distribution.Under the framework of Behavioral Finance with limited attention,it is of both theoretical and practical significance to study the influence of the information disclosure mechanism of Longboard on the different maturities of investors and the efficiency of information disclosure.In this paper,2495 stocks and16570 events from January 4,2016 to December 28,2017 are received from "Stock Trading List" events,as an effective variable of investor attention,focusing on whether the attention of investors has an effect on their trading behavior,which in turn affect the stock’s return,volatility and stock trading volume.The results show that the " Stock Trading List " list of events on behalf of the investors’ attention makes influence on investor behavior."turnover of more than 20% shares" and "stock gains more than 7%" will lead to a continuous reverse change of cumulative excess return,while the "stock falls more than 7%" events shows a significant increase in cumulative return over the next few days,but it is still negative.The positive news has a positive effect on stock return first but then maintains negative effect,while the negative news is negative but the effect gradually weakens." Stock Trading List " events has positive impact on stock volatility,and continues for a long time,While the impact on stock trading volume is constantly changing.Finally,this paper selects the non-listed stock as a sample test,which is " stock gains between 6.9%-7%" to test if the results are robust,and then select the sample regression test after eliminating the ST stock and the newly listed stock.It is proved that the results of this paper are robust.By analyzing the influence of investors’ attention on the market performance of individual stocks,on the one hand,the analysis that enables investors to pay attention can get more application in behavioral finance and economics and finance.On the other hand,analyzing the limited attention paid by investors to the analysis of the future market returns and the volatility of the stock market can better analyze the drivers of stock market performance and provide some guidance for the theoretical expectation of stocks and the entire financial industry.Due to the current small and medium-sized investors in the capital market in our country,small and medium-sized investors generally suffer from information disadvantage and are easily influenced by public opinion and market sentiment to form wrong investment decisions and thus cause losses.Therefore,for small and medium-sized investors,research attention and the impact of the stock market can guide their own investment behavior,help themselves to establish a scientific risk asset selection and allocation system,to avoid being irrational factors in order to better achieve wealth management. |
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