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

Abstract

Abstract: 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 Connect to be weaker than that of Shanghai-Hong Kong Stock Connect.

Key words: Shanghai-Hong Kong Stock Connect, Shenzhen-Hong Kong Stock Connect, attention distribution, investor sentiment

CLC Number:

F832.5

YU Bo, WU Han-hong. Policy Shocks, Attention Distribution and Investor Sentiment: An Analysis Based on“Shanghai-Hong Kong Stock Connect”and“Shenzhen-Hong Kong Stock Connect”Policies[J]. Contemporary Finance & Economics, 2020, 0(1): 136-148.

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