不确定性事件、投资者关注与股市异质特征——以COVID-19概念股为例

Uncertain Event,Investor Attention and Heterogeneity of the Stock Market:A Case Study on COVID-19

适应性市场假说试图将有效市场假说和行为经济学两大思想流派融为一体。在有限关注理论框架下研究不确定性事件概念股的异质特征是适应性市场假说极具现实意义的话题。文章基于开源大数据构建投资者关注的代理变量,研究COVID-19事件的发生及其信息扩散影响COVID-19概念股的异质特征行为。结果显示,COVID-19不确定性事件的发生显著拉低了概念股的收益率,增加了概念股的波动性,影响半衰期分别为0.79天和2.96天。进一步研究发现,投资者对COVID-19事件关注度显著地正向影响了概念股的收益率,但对概念股波动率的影响不显著;投资者市场关注度的宏观经济维度与COVID-19概念股的收益率和波动率均不具有显著关系。但是中观行业维度和微观个体维度关注度的作用是显著的,且均与COVID-19概念股的收益率显著正相关,与波动率显著负相关,主要影响“宅经济”。此外,不确定性事件、投资者关注对各概念股板块的影响具有异质性。文章从不确定性事件概念股视角为适应性市场假说提供了有限关注理论的经验证据,同时亦为股票市场应对突发不确定性事件、维护金融安全以及促进实体经济复苏提供了参考依据。

In recent years,especially with the fast progress of Internet,the frequent occurrences of uncertain events on the globe are more likely to invite wide attention from investors.However,the public’s great attention to uncertain events may prompt traditionally overconfident or opportunistic investors to chase for event-related stocks,resulting in the heterogeneity of stock price behavior.The adaptive market hypothesis attempts to integrate the efficient market hypothesis and behavioral economics.It is of great practical implications to investigate the impacts of unexpected events on the performance of event-related stocks under the framework of adaptive market hypothesis and limited attention theory.Current COVID-19 pandemic,the most urgent and uncertain event around the world,has caused severe impacts on financial markets.Compared with regional events,the impact of COVID-19 is more typical and representative.Therefore,using open source big data,we construct an investor attention variable and examine how the COVID-19 outbreak and investors’attention to COVID-19 affect the heterogeneous performance of COVID-19 related stocks.Our findings of event-related stocks will provide new evidence for adaptive market hypothesis and limited attention theory.We find that COVID-19 significantly lowers the returns and increases the volatilities of the COVID-19 related stocks.The average half-life period of those stocks’returns and volatilities is 0.79 days and 2.96 days,respectively.Moreover,investors’attention to COVID-19 significantly and positively affects COVID-19 related stocks returns,while the impact on their volatility is not significant.Besides,attention to macroeconomics has no significant impact on those stocks’returns and volatilities;but attention to financial market and retail investors’behavior both significantly increase those stocks’returns and decrease their volatilities,and the impact is the strongest for“stay-at-home economy”related stocks.Furthermore,the main findings regarding the impacts of COVID-19 and attention to COVID-19 on stocks’returns and volatilities are contingent on different COVID-19 related stock sectors.To deal with the impact of uncertain events,maintain financial security and promote the green economic recovery,this paper makes the following suggestions.On the one hand,firms need to improve early risk detection and reaction plans,consolidate risk prevention ability,and minimize the losses by uncertain events.On the other hand,relevant government regulatory agencies need to strengthen regulations on public voices to major uncertain events.Timely regulations on misled news and spurious opinions on uncertain events are helpful for mitigating investors’panic and are conducive to crisis management and stability of China’s financial markets.