3835 
6963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。
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
摘要
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引用本文
田金方, 杨晓彤, 薛瑞, 等. 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[J]. 财经研究, 2020, 46(11): 19-33.
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