政策冲击、注意力分配与投资者情绪——基于“沪港通”与“深港通”政策的分析

Policy Shocks, Attention Distribution and Investor Sentiment: An Analysis Based on “Shanghai-Hong Kong Stock Connect” and “Shenzhen-Hong Kong Stock Connect” Policies

以沪港通、深港通双重政策冲击为背景,利用沪港、深港成交量数据及百度指数跟踪沪港、深港交易联动性和投资者注意力分配水平,借助双重差分法,研究了互联互通政策市场情绪效应以及注意力分配对这一情绪效应的调节作用。研究发现:互联互通政策提高了沪港之间以及深港之间的情绪联动水平;投资者对互联互通政策的注意力分配水平越高,沪港之间以及深港之间情绪联动水平也越高,说明注意力分配对政策效果具有调节作用;对比政策预期阶段和政策实施阶段的情绪联动水平变化,发现投资者注意力分配水平在政策预期阶段更强,导致政策预期对情绪联动水平的影响比政策本身更突出,而注意力衰减效应则导致深港通情绪联动水平弱于沪港通。

Against the background of the dual policy shocks of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect,this paper makes use of Shanghai-Hong Kong and Shenzhen-Hong Kong trading volume data and the Baidu Index to track Shanghai-Hong Kong and Shenzhen-Hong Kong trading linkages and the distribution levels of investors’attention.With the help of the double difference method,it studies the market emotional effect of the interconnection policy and the regulating effect of attention distribution on this emotional effect.The findings show that the interconnection policy has improved the level of emotional linkage between Shanghai and Hong Kong and between Shenzhen and Hong Kong.The higher the level of attention distribution by investors to the interconnection policy,the greater the level of emotional linkage between Shanghai and Hong Kong and between Shenzhen and Hong Kong,indicating that attention distribution has a regulating effect on the effect of policies.When comparing the changes in the level of emotional linkage during the policy expectation phase and the policy implementation phase,it is found that the investor’s attention distribution level is stronger in the policy expectation phase,resulting in the effect of policy expectations on the level of emotional linkage is more prominent than the policy itself,while the attention attenuation effect causes the level of emotional linkage of Shenzhen-Hong Kong Stock Con-nect to be weaker than that of Shanghai-Hong Kong Stock Connect.