Empirical Study On Investor Behaviors After Stock Hitting The Upper Price Limited

In recent years，Limited Attention Theory has become the frontiers of financialresearch. In many cases，it is a better way to explain various of financial anomalies.Limited attention effect is a kind of specific psychological phenomenon and mayinfluence the behavior of investors when the macroeconomic and fundamentals of thelisted companies do not changed radically. Psychology research has shown thathuman will face the ability limitation while they deal with a lot of information.Specific to the stock market, limited attention change the behavior of investors andaffect the stock price and volume. Stock price will be dramatic changed in short termbecause investors make the irrational decision.When the market investors face many investment objects, and information searchand processing cost much a lot, investors are difficult to make the general rationalinvestment behavior. At this time, attention effect may become a very importantinfluence on behavior. In the stock market, small investors generally are lack ofinformation retrieval and analysis ability and it will be very difficult to decide whichis the better stock should be chosen. Therefore, investors will choose which stock canattract their attention. In this small consideration，investors can further choose two orthree stocks by according preferences.This article chooses the price upper limited as an attention-grabbing event. Inorder to test if attention-grabbing events are linked with net different investor’s tradeimbalance as the attention proxy variables. We analysis the imbalance and the dayabnormal return after price upper limited of stocks. Results show that the netimbalance numbers of different investors and abnormal return after stocks hittingupper price are positive significant. Total investors average net imbalance is5.52%and especially the A Investor (Single trade volume is less100000RMB) average netimbalance is10.76%. The results also show that average abnormal return after stockshitting the upper price limited is1.78%. Therefore, limited attention affects theinvestors’ behavior significantly and the stock price.