Investors Have Limited Attention To The Impact Of Different Levels Of Information On The Synchronization Of Stock Prices

It is an important function of the stock market to use the signal transmission mechanism of the stock market price to realize the effective allocation of resources,but the phenomenon of most shares' price rise and fall in same time damaged the signal function of the capital market,caused a mismatch of resources,and also caused Investor's loss.China's stock market has a relative short history,the proportion of retail investors is high,and the system construction needs to be improved.These have led to a lot of noise in the formation of the stock price.When new information appears,it cannot quickly enter the stock price,resulting in China's stock market.The characteristics of large turnover rate,violent fluctuations,strong stock prices,and low asset pricing efficiency have seriously hindered the development of China's stock market.Most of the existing research explores the causes of stock price synchronization from the aspects of institutional environment,information disclosure,and cultural background.This paper from the perspective of investors,uses the investors' limited attention theory in behavioral finance as an entry point to explore the reason of stock price synchronization.Based on Listed companys' data form 2012 to 2018,and use baidu index by pthon to measure investors' attention,this paper find the way of investors distributing attention caused the stock price synchronization.This study finds that when investors face massive amounts of information,they will category learning the information in order to improve the efficiency of information processing.After empirically testing the information impact of the company,industry,and macro level,this paper came to the conclusion that the increase of information at the company level can reduce the synchronization of stock prices,while the increase of information at the industry and macro levels will improve the synchronization of stock prices.The research conclusions in this article enrich the reasons for the formation of stock price synchronization,and in addition have some practical significance.I hope that by analyzing the impact of stock price synchronization,we can help investors avoid wealth shrinkage and provide a theoretical basis for regulators to protect small and medium investors.To enhance the efficiency of China's stock market.