The Impact Of Investor Attention On Chinese Stock Return Under The Outbreak Of COVID-19

In early 2020,the novel coronavirus spread across the countries.As an important part of the economic system,financial markets inevitably suffered the impact of accelerating contagion around the world.While the stock market has been strongly negatively affected by the COVID-19 pandemic,many investors are paying attention to the relatively positive performance of some so-called“COVID-19 concept stocks”.In this context,it is valuable to analyze the relationship between investor attention and stock return rate.Based on the attention effect and information effect theory,this paper constructs a fixed-effect model to study the impact of investors’ attention on the return rate of China’s COVID-19 concept stocks during the COVID-19 pandemic.The explanatory variables include macroeconomic attention index,stock market attention index,pandemic attention index and company stock attention index constructed by Baidu search index through principal component analysis approach.The control variables include CSI 300 Index,stock circulated market value,stock price-to-book ratio,turnover rate and dummy variables of company report disclosure date.The results show that investor attention to macro-economy has no significant impact on stock return rate of COVID-19 stocks in the short term,but it has a significant negative impact in the subsequent period.Investor attention to the stock market has a significant negative impact,but it has a significant positive impact on subsequent stock returns.Investor attention to pandemic has significant positive effects both in the short and long term.Investor attention to individual company stocks has a significant positive impact in the short term,but it has a significant negative impact on subsequent stock returns.Heterogeneity analysis results show that,except one to macro-economy,the other three types of investor attention have positive and significant impacts on the three types of COVID-19 stocks,among which the prevention and diagnostic stocks are the most affected ones.The main innovations of this paper are as follows: it measures investor attention from the perspectives of content(macro-economy,stock market,pandemic,and individual company stocks)to time(same period,one period lag and two periods lag).Through empirical analysis,this paper tests the mechanism of investor attention on stock return rate,deeply discusses different directions and periods of its effect on stock return rate,and supplements the existing theory.the research object is COVID-19 concept stocks which are greatly affected by pandemic.To examine the heterogeneous impact of investor attention on COVID-19 concept stocks,stocks are divided into prevention stocks,diagnostic stocks and treatment stocks.