The impact of investor attention to the federal reserve on jumps in China’s stock market
研究发现，投资者对美联储的关注度越高，中国A股市场出现股价跳跃的概率和幅度越大，且这种影响在非美联储公告日也存在，尤其对负面跳跃和小盘风险股更显著。
We study whether and how investor attention to the U.S. Federal Reserve transmits to China’s A-share market through stock-price jumps. Using Baidu search volumes for Fed-related terms as an attention proxy, we show that greater attention is associated with both a higher probability and a larger magnitude of jumps. These effects are not confined to FOMC announcement days; they also arise on non-announcement days, consistent with the continuous flow of Fed communications and expectation updating. The impact is stronger for negative jumps and among smaller, riskier firms where retail investors are most active. Robustness checks that control for domestic monetary policy attention, U.S. macroeconomic news and equity market conditions, alternative jump-identification methods, and pre-announcement attention measures yield similar conclusions. Taken together, the findings highlight investor attention as a behavioral channel of U.S. monetary policy spillovers and indicate that attention amplifies – rather than resolves – market uncertainty.