Abstract:

The public health emergency that began in late 2019 had an unprecedentedly large impact on China's financial markets， and the role of investor attention （sentiment） on the pandemic in influencing China's stock market during this period should not be underestimated. Therefore， it is of great theoretical and practical importance for policy makers and market participants to explore the interaction between investors' attention and China's industrial stock markets during the different phases of the pandemic. Based on the traditional static spillover index， the dynamic spillover index method based on the time-varying parameter-vector autoregressive model （TVP-VAR） is used to explore the dynamic information spillovers between investors' attention and China's stock markets from before the epidemic to the outbreak and rapid spread of the epidemic， and then to the normalization of the epidemic prevention. The empirical results show that， on the one hand， there is a significant difference in the information spillover between investor attention based on Baidu index and industrial stock markets at different stages of the pandemic； on the other hand， industrial and optional consumption stocks are always spillover transmitters at different stages of the pandemic. While pharmaceutical and public sector stocks basically remain spillover receivers. The above findings can provide useful supports for regulators， listed companies and investors in making regulatory， risk management and portfolio allocation decisions.

Key words: public health emergency, investor’s attention, industrial stock, information spillover, TVP-VAR model