News, Institutional Investors' Limited Attention and Stock Market Reaction

This study explores the Chinese stock market's response to news shocks. The results show that: (1) institutional investors pay over-attention to positive news shocks but insufficient attention to negative news shocks, which cause the asymmetric reaction of the stock market directly; (2) 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 margin buying, informed trading of institutional investors and limited attention of the individual investor