A Study On The Mechanism Of The Effect Of Investors' Limited Attention On Industry Rotation

In recent years,limited attention of investors and industry rotation effect have deve loped rapidly.The traditional research methods in both fields are becoming more and more mature,but in the past,they focused on the relationship between individual stock yield and the level of attention,rarely involving the difference of attention between ind-ustries,Moreover,domestic research on industry rotation is more affected by the foreign research,focusing on the impact of Economic cycle,Merrill Lynch clock or trying to use industry rotation to simulate the analysis of investment strategy to explore the feasi-bility of rotation strategy;however,there is little literature to combine the two fields.Therefore,this paper puts forward the research on the mechanism of investors' attention on the industry rotation effect.In order to analyze the influence of industry focus on industry rotation effect,this paper takes Baidu Index as individual stock focus,removes the incomplete data value,and finally 2892 stocks.According to the 2012 industry standard of China Securities Re-gulatory Commission,it is integrated into the difference of industries' attention-variable,and selects superlative index as the proxy variable of industry rotation based on the exi-sting research literature.Finally,this paper selects 15 groups of industry rotation analysis Group.This paper takes the research from first quarter of 2013 to the second quarter of 2019,respectively set up the regression analysis group of the current industry attention difference and the lag period industry attention difference regression analysis group.To select the accurate regression model that can meets the purpose of the study,this paper also combined with the requirements of statistical tests and the economic meaning.According to the regression analysis,it is found that the superlative index among i-ndustries is not affected by the difference of the current industries' attention,but only by the significant influence of its' lag variable.It shows that when a wave of informati-on,policies or other events that may attract investors' attention,there are great differen-ces in the response speed of different industries to the same information set.Consideringt he different ability of investors to obtain and process information,the information gradu-ally reacts to the stock price in the market.Then,the return rate between the related industries will occurs Industry rotation effect.And the industry rotation effect is formed by the inter.period transformation.The study of this paper will fill the blank of the lim-ited attention and the industry rotation effect To some extent.And this paper will also provide some suggestions for the price fluctuation mechanism of capital market.And ba-sed on the characteristics of small and medium-sized investors in China's capital market,it will give the reference significance for the policies of CSRC and governm ent depart-ments,and this study hopes to give some suggestions to promote small and mediumsiz-ed investors to invest rationally.