| In China’s stock market,investors include retail investors and institutional investors,among which the number of retail investors is enormous.Compared with institutional investors,retail investors lack professional knowledge of economics and finance,and do not own a professional team.So they have prominent limited rationality characteristics.One of the critical differences is that institutional investors own strong information source channels and powerful information collection and processing ability,while retail investors only have limited attention ability.In this way,retail investors’ attention will become an essential factor in information analysis and processing.According to the theory of behavioral finance,because of the limited rational characteristics of retail investors(especially limited attention),retail investors’ attention will affect their cognition and expectation,and then affect their investment decisions and the market performance of corresponding assets.The epidemic of new coronavirus pneumonia has enormous impact,which has attracted wide attention.When the attention of retail investors to the epidemic changes,their expectations of many industries’ development prospects may be affected,and then the return of the corresponding stocks would be affected.Because the impact of the epidemic on many industries has two sides,and retail investors often lack professional knowledge of economics and finance,and have no professional and systematic training,they have obvious limited rationality characteristics,it is difficult for us to predict the decision-making and behavior of retail investors accurately.Therefore,this study will infer the impact of retail investors’ attention on the stock return in different industries based on the estimated results of the regression model constructed on the relevant variables..In order to investigate the impact of retail investors’ attention to the epidemic on the stock return of different industries,this thesis constructs the measurement index of retail investors’ attention to the epidemic based on the Baidu search index,and collects the data of stock index return of 59 industries including 10 primary industries,18 secondary industries and 31 tertiary industries.Then we constructs 59 different regression models in which the influence of epidemic situation and systemic risk factors on industry stock index return is controlled.After the descriptive statistics and stationarity test of the collected data,we first use the OLS method to explore the impact of retail investors’ attention to the epidemic on the conditional expectation of stock return in different industries,and then use threshold regression method to explore whether the effect of retail investors’ attention to the epidemic on the conditional expectation of excess stock return in different industries has changed over time.Then,based on the event study method,this paper examines the response of the whole capital market including institutional investors when the epidemic occurs,so as to explore the difference between ordinary investors and the whole capital market in response to the epidemic.Finally,in order to more comprehensively explore the relationship between retail investors’ attention to the epidemic and stock return in different industries,we use quantile regression method to explore the impact of retail investors’ attention to the epidemic on the conditional distribution of stock return in different industries.Based on the OLS estimation results,we find that the conditional expectation of stock excess return in some industries is affected by retail investors’ attention to the epidemic.In the primary industries,the attention of retail investors to the epidemic positively impacts the conditional expectation of stock excess return in the health care industry and the telecommunication services industry,negatively impacts the conditional expectation of stock excess return in the consumer discretionary industry.In the secondary industries,retail investors’ attention to the epidemic positively impacts the conditional expectation of stock excess return in the medical biology industry,and negatively impacts the conditional expectation of stock excess return in the automobiles& components industry.In the tertiary industries,the attention of retail investors to the epidemic positively impacts the conditional expectation of stock excess return in energy equipment & Services industry and pharmaceutical industry,negatively impacts the conditional expectation of stock excess return in computers & peripherals industry,Airlines industry,software industry.Based on the estimation results of threshold regression model,this study finds that there is a time threshold effect in the effect of retail investors’ attention to the epidemic on the conditional expectation of stock excess return in the media industry and software service industry in the secondary industry and the construction engineering industry,auto parts industry,information service industry,diversified retail industry,durable consumption industry,network software industry,paper forestry industry in the tertiary industry.That is to say,in different periods of time,retail investors’ attention to the epidemic has different effects on the conditional expectation of excess stock return in these industries,which indicates that with the passage of time,retail investors’ cognition and attitude towards the epidemic will gradually change,which leads to the change of the effect of retail investors’ attention to the epidemic on the conditional expectation of excess stock return in these industries.Based on the results of the event study method,this study finds that for many industries affected by both the positive and negative effects of the epidemic,when the epidemic broke out,the response of the whole capital market,including institutional investors,shows that the positive effect of the epidemic judged by the capital market on these industries was greater than the negative effect.This is in sharp contrast to the effect of retail investors’ attention to the epidemic situation on the conditional expectation of excess stock return in these industries.To a certain extent,the result shows that in the face of the epidemic situation,the whole capital market is relatively more rational and optimistic,and can find potential opportunities through the appearance of crisis;while because of the strong loss aversion,retail investors will pay too much attention to potential losses in the face of the epidemic,become more conservative and pessimistic,and overreact to the negative impact of emergencies.Based on the estimation results of quantile regression,this study finds that most quantiles of stock excess return in some industries(such as the consumer discretionary industry)will be affected by the attention of retail investors to the epidemic,the stock excess return in some industries(such as telecommunication services industry and computer application industry)will only be affected by the attention of retail investors to the epidemic in the downward or upward stage of industry stock price,the stock excess return in some industries(such as media industry and computers & peripherals industry)will be affected by the attention of retail investors to the epidemic only when the industry’s stock price fluctuates laterally or slightly.This shows that in different stages of stock price operation in different industries,the impact of retail investors’ attention to the epidemic situation on the stock returns of corresponding industries is different,which to a certain extent indicates that retail investors’ disposition effect,chasing up and down,confirmation bias and other characteristics would lead to their irrational information interpretation and investment decisions.Finally,according to the results of this thesis,we puts forward targeted suggestions for the relevant government agencies and ordinary investors... |
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