Psychological Safety Zone Theory was used to explain the Spatial Stock Price Co-movement of Investors’ Attention in this paper. Based on the data of Shanghai Stock Exchange companies from 2020 to 2025, it was found that there is a negative correlation between spatial stock price co-movement and psychological safety distance, mediated by attention co-movement. The above evidence also shows that attention comovement is formed via attention transfer in the process of information spread, and this transfer has a spatiotemporal pattern. After dividing the attention sentiment into positive and negative components, this study found that there is a double asymmetric effect: positive attention is more correlated with the bull market than negative attention, and negative attention is more correlated with the bear market than positive attention. Based on the above results, portfolio construction, hedging decisions and risk management should consider the spatial distance of the assets, attention sentiment and changes in the market, etc., when evaluating stock price co-movement.
