Abstract: This paper uses empirical methods to study the correlation between the attention of small and medium-sized investors paid to different aspects of information and the Chinese stock market indicators before and after the strict regulatory layout. On this basis, a nonlinear model is constructed. From the perspective of limited attention, the abnormal phenomenon of the Chinese stock market after the strict supervision layout is analyzed. It is found that the interpretation degree of the model reaches 75%. We find that the correlation between limited attention and stock market indicators before and after strict regulatory layout has changed significantly. The limited attention of different aspects has different effects on the stock market. The limited attention of different aspects has different paths to the abnormal fluctuation of stock market, especially the adjustment of attention paid to regulation policy is highly relevant to the abnormal fluctuation of stock market.

Key words: regulatory policy, limited attention, stock market, Baidu search index