| In the era of all media,reports on COVID-19 and the epidemic situation have swept all corners of the world.Large-scale,high-density,and long-term epidemic information have also ravaged the financial market,leading to information overload.A large amount of epidemic information can easily trigger anxiety and panic,exacerbating irrational behavior among investors.Irrational behavior poses no less harm to financial markets than the epidemic itself.Therefore,from the perspective of information overload,this paper studies its impact on the stock market,and proposes two paths to the impact of information overload on the stock market: the first path,the COVID-19 epidemic triggers the phenomenon of information overload,which makes fear and anxiety widely spread among the public,triggers negative behavior of investors,and thus has an impact on the stock market.The second path is that information overload causes investors to pay further attention to the epidemic information,leading to changes in investors’ investment behavior,which has an impact on the stock market under the joint action of various other factors.This paper selected A-share listed companies in China from January 20,2020,to December 31,2020,as the research object,and constructed information overload indicators and investor attention indicators.Based on the above indicators,this paper first established a VAR model to study the impact of information overload on investor attention,and then established a two-way fixed effect model for individual time to study the impact of information overload on the stock market,and included investor attention to epidemic information as an intermediary indicator in the model.Finally,to delve deeper into the heterogeneity impact of information overload on the stock market,this paper conducted a heterogeneity analysis in three aspects: industry,listing sector,and listing time.It separately explored the impact of information overload and investor attention on the 17 sectors classified by the China Securities Regulatory Commission,excluding the financial industry,residential services,repair,and other service industries,as well as the impact on the mainboard and nonmainboard listed companies,and from 1990 to 1999,from 2000 to 2009,from 2010 to 2019 three periods.The results show that: Firstly,the epidemic information overload has a positive and long-term impact on investors’ attention to epidemic information.Secondly,based on the analysis of 2109 Ashare listed companies in China,their stock price returns and volatility,the more information overload,the lower their stock returns and the higher their volatility.Thirdly,the investor’s attention plays a mediating role in the process of information overload affecting stock returns and volatility.Fourthly,the heterogeneity research conclusion shows that the ability of different industries to fight against the risk of information overload is different.The main board listed companies are better than nonmainboard in combating the risk of epidemic information overload.The longer the companies are listed,the stronger their ability to fight against the risk of epidemic information overload.In addition,the heterogeneity research found that there is a intermediary effect impact mechanism of information overload on the stock market by influencing investors’ attention. |
