A Study On Investor Attention And The Suspension Effect Of M&A

There is a certain degree of information asymmetry and insider trading in capital market.For major information disclosure behavior of listed companies represented by mergers and acquisitions,the market reaction caused by information dissemination has a major impact.Whether the suspension and resumption system established by China's securities market for such major information disclosure can alleviate the irrational behavior and improve the sufficiency of information circulation,plays a vital role in maintaining the normal operation of the securities market.Based on the "limited attention" theory of cognitive psychology,this paper takes the stock posting data as the investor attention index,and constructs two proxy indicators of investor attention and investor sentiment value by posting frequency and posting emotional value.The reaction of the current period and the lag period of the individual stocks was analyzed,and the effect of the suspension and the effectiveness of information dissemination in the merger and reorganization events were examined.The empirical results show that the suspension of trading significantly increased the circulation of market information,alleviating the fluctuations caused by the major events of mergers and acquisitions on the stock price of listed companies,that is,the investor's attention during the suspension period is inversely proportional to the fluctuation of the stock price on the resumption date.At the same time,the higher the hotness of posting during the suspension period,the higher the investor's attention,the greater the motivation for holding the relevant stock,and the higher the return rate of individual stocks.At the same time,the investor commentary data significantly indicates that there' s an information leakage in the week before the suspension of the listing of the listed company,and there is a significant abnormal return.Through the research on transaction data and investor attention data in the past ten years,this paper believes that the setting of the suspension system has achieved the basic effect,and it is necessary to continue to optimize the relevant suspension regulations of listed companies to further standardize and guide the behavior of listed companies and investors.Maintaining the normal operation of the securities market has a positive effect on investors' investment decisions and regulatory disclosures on M&A and restructuring.