投资者关注与市场反应——来自中国证券交易所交易公开信息的自然实验

涨停的股票能否被交易公开信息披露取决于收益率排名中的随机因素,与股票的基本面特征无关。本文利用这一机制设计自然实验检验了投资者关注对股价的影响。实证结果显示交易公开信息披露使股票受到投资者更多的关注,增加了小额资金的净流入,减少了大额资金的净流入和股价的短期收益率,抑制了股价短期波动率,同时降低了股价在长期发生反转的可能性。频繁登上交易公开信息的知名营业部买入的股票受到更多关注,相应的市场反应也更加显著。进一步的研究表明监管性信息披露引发的投资者关注通过降低市场信息不对称抑制了股价反转。

Investor Attention and Market Reaction: A Natural Experiment Based on Trading Information Disclosure from Stock Exchanges in China

The impact of investor attention on asset pricing is critically important for the functioning of stock markets. This paper examines the effects of a type of attention-grabbing event, Trading Information Disclosure from China's stock exchanges, on investors' trading behavior and stock price performance.
It is difficult to empirically measure the impact of investor attention on stock prices because events that attract attention are often accompanied by the release of other valuable information on listed companies or special events related to them that contain information about the value of stocks. We use a natural experiment setting based on Trading Information Disclosure and upper price limits on China's stock exchanges. The natural experiment design eliminates confounding factors that occur simultaneously with attention-grabbing events and allows us to cleanly identify the impact of investor attention.
The treatment sample includes all A-share listed stocks that hit the upper price limits and were disclosed by Trading Information Disclosure on the Shanghai and Shenzhen Stock Exchanges from 2007 to 2015. The control sample includes all other stocks that hit the upper price limits without being disclosed. The advantage of this setting is that it can eliminate the interference of other factors.
The findings of this paper are threefold. (1) The treatment group has a significantly higher Baidu search index and excess turnover ratio during the event period, which indicates that the stocks disclosed under Trading Information Disclosure receive significantly more market attention than stocks in the control group. (2) Compared with the control group, the treatment group obtains more net inflows of small deals but fewer big deals. The treatment group also has lower excess return and idiosyncratic volatility in the short term and lower probability of price reversal in the long term. Further research also indicates that investor attention triggered by Trading Information Disclosure decreases the probability of price reversal by reducing market information asymmetry. (3) These effects are more significant for stocks bought by well-known security sales departments, which attract more market attention. The empirical results show that investor attention attracted by regulatory information disclosure reduces market information asymmetry and inhibits irrational price fluctuation.
Overall, investor attention, as an important factor in investor trading behavior, has a significant impact on asset prices. This paper shows that Trading Information Disclosure improves market efficiency, reduces information asymmetry, and decreases excessive stock price volatility. Academics, market regulators, and financial industry practitioners should be aware of the importance of reducing the irrational component of asset prices and take action to reduce market information asymmetry, inhibit irrational market volatility, and improve market pricing efficiency by constructing standard and appropriate information disclosure systems and investor education systems.
This paper contributes to the literature in three aspects. First, the natural experiment design allows us to more precisely observe the impact of investor attention on stock prices. Because random factors instead of stock fundamentals determine whether a stock that hits the upper price limits will be disclosed by Trading Information Disclosure, we can examine the impact of investor attention on stock prices more accurately.
Second, the literature argues that attention-grabbing events increase the trading of noise investors, which reduces market efficiency. However, a few studies have argued that investor attention due to regulatory information disclosure can reduce information asymmetry and improve market efficiency. This paper finds that Trading Information Disclosure makes price fluctuations more efficient. This paper thus supplements the literature about the beneficial effects of investor attention on the market.
Third, Trading Information Disclosure is an important part of the stock market information disclosure system in China. The information disclosed attracts the attention of a large number of institutional and individual investors because of its timeliness, authority, and unique value in trading. However, domestic researchers have not fully examined its effectiveness as an information disclosure system. This paper shows that Trading Information Disclosure achieves the role of reducing market information asymmetry and reducing excessive fluctuation of stock prices.