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.