News shock, limited institutional attention and stock market response: Evidence from China

Shaoling Chen, Jun Wu, Weijuan Liang and Haisheng Yang

Journal of Asian Economics, 2025, vol. 100, issue C

Abstract: This study explores the Chinese stock market’s response to news shocks. The results show that: (1) the stock market tends to overreact to positive news shocks but underreacts to negative news; (2) institutional investors pay over-attention to positive news shocks but insufficient attention to negative news shocks, which causes the asymmetric response patterns of the stock market directly; (3) the inclination and the distraction of attention suggest that the limited attention constrains the institutional investors; (3) the impact of institutional investors’ limited attention on asymmetric reactions increases with the individual limited attention, margin buying, and informed trading of institutional investors.

Keywords: institutional investor; limited attention; news shock; market response (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:asieco:v:100:y:2025:i:c:s1049007825001174

DOI: 10.1016/j.asieco.2025.101993

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