Research On The Influence Of Investors’ Attention On Stock Market Performance

With the rapid development of financial market,some market anomalies can not be explained by traditional finance.Scholars integrated psychological theories into finance,and behavioral finance was born.Kahneman,a representative figure in the field of behavioral finance,put forward the theory of limited attention in 1973,believing that attention is limited and investors’ attention to certain information must be paid at the cost of ignoring other information.Investors selectively pay attention to certain information to guide their investment decisions,thus affecting the stock market performance.In recent years,in order to cope with global warming and meet the needs of low-carbon development and green development,China has put forward the goal of carbon peak and carbon neutrality as well as the realization path,and carbon neutrality has become a hot topic in society.The seriousness and urgency of climate warming and the continuous launch and improvement of carbon neutrality policy documents at the national level have attracted extensive attention from investors to carbon neutrality and carbon neutral concept stocks.Therefore,combined with practical problems,this paper studies the impact of investors’ attention to the carbon neutral field on the market performance of carbon neutral concept stocks.Through extensive reading of domestic and foreign investor attention field literature,this paper determines the specific indicators to measure the performance of the stock market and the proxy variables of investor attention.Specifically,this paper chooses Baidu Index with carbon peak and carbon neutrality as the proxy variable of investor attention to study the impact of investor attention on the returns,trading volume and turnover rate of carbon neutral concept stocks.In terms of empirical analysis,this paper selects the daily data of 88 carbon neutral concept stocks from September 23,2020 to November 30,2021 for research.According to Fama-French three-factor model,SMB,HML and market portfolio factor of listed companies are selected as control variables.At the same time,the fixed effect of time is added to control the calendar effect of stock market,and the fixed effect model of panel data is used for regression.The regression results are as follows:(1)Investor attention has a significant positive impact on the returns of carbon neutral concept stocks,and after differentiating positive and negative news,investor attention has a greater impact on the absolute value of excess returns of stocks.(2)When the liquidity index is measured by stock trading volume and turnover rate,investor attention also has a significant positive impact on the liquidity of carbon neutral concept stocks.(3)The company’s market value has a moderating effect on the above effects,that is,investors’ attention has a greater impact on the market performance of carbon neutral concept stocks with low market value.In this paper,endogeneity test and robustness test are used to verify the above conclusions.Most of the previous literatures studied the overall situation of Chinese stock market,and few related to concept stocks.From the perspective of concept stocks,combined with the realistic background,this paper studies the impact of investors’ attention to the carbon neutral field on the returns and liquidity of carbon neutral concept stocks,providing new evidence for the theory of limited concern,and enriching the research in the field of empirical asset pricing,which has certain theoretical significance.At the same time,it can also provide some theoretical guidance for the investment behavior of small and medium investors and the supervision and control strategy of the government and regulatory agencies,which is conducive to better protect the interests of small and medium investors and maintain the stability of the financial market.