The Effect Of Attention On The Stock Price Volatility After Trading Halts

Most of the investment decisions in the securities market are often based on specific information.In recent years,the development of the science and technology clearly increase the liquidity of information,the first problem is how to allocate the limited time and energy in the huge information flow.As an important way of information disclosure in stock market,trading halts provides the necessary time for investors to get information,and reduces information asymmetry,in addition,the effectiveness of information disclosure in trading halts directly affect the performance of the stock market after trading halts.Therefore,It is necessary to conduct further research.In this paper,We explore the changes of the individual investor’s attention measured by Baidu Index,and the relationship between attention and the stock price volatility after trading resumption.Based on the Theory of Attention,We find that investors not only can’t effectively interpret the information during the trading halts,but also can increase the stock price volatility.According to the Price Pressure Hypothesis,the investor’s attention,reaching the peak in resumption day,significant affect the stock returns,which is more obvious when trading halts is for good news in upward markets,and it proves the existence of overreaction of investor.But sthe effect is gradually weakened with the joint action of limited attention of investors and halt durations,so it’s unreasonable for part of companies to extend the halt durations. Finally,investors gradually return back to be rational.Through the research and analysis of investors’ attention and decision-making behavior under the halts system in China,it’s necessary to improve the information disclosure mechanism for supervision and guidance,and promote rational investment, especially for individual investors.