投资者关注测度及对股票市场特定收益的影响

发布时间：2018-02-01 11:10

本文关键词： 投资者关注 A股市场 IPO 行为金融 Google 新闻报道　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：在传统的金融学研究中,投资者关注是持续集中的,能够消化各类信息并将其反映到资产的价格中去。但实际情况并非如此,投资者的关注是有限的,有主动关注和被动关注之分,因此并不能关注到所有的公开与非公开市场信息。学界认为,投资者关注在证券价格的形成过程中,产生了较大的影响和推动作用。在中国的资本市场上,大量存在着利用投资者关注的盲目而进行套利的炒作行为。为了更好的衡量投资者关注,理解投资者关注对于股票市场的影响,本文引入了新的代理变量——Google搜索量指数,作为投资者的主动关注；同时,利用爬虫程序抓取了传统新闻媒体的数据,利用新闻报道量指数作为投资者的被动关注代理变量,对投资者关注与股票市场特定收益之间的关系进行了研究。首先,对搜索量指数、新闻报道量指数和其他投资者关注的代理变量之间的关系进行分析；接着,基于A股市场样本和2004年6月之后IPO公司样本数据,对投资者关注与股票市场价格的关系,尤其是投资者关注对于股票价格的影响进行了研究。研究结果表明：投资者的主动关注和被动关注的相关性为负,并且存在“线下”与“线上”之间的转移路径；投资者关注对于股票价格的确有着较大的影响作用,但主动关注与被动关注对于股票价格的影响存在着不同；IPO前一个月,投资者主动关注更有预测性,而IPO前二至三周之内,投资者被动关注更有预测性。本文研究结果可以供散户投资者更好的理解中国的股票市场,在市场狂热时能够冷静思考；同时,也能够为相关管理决策部门提供参考,从而规范我国上市公司信息披露行为,引导中国资本市场走向成熟与规范。
[Abstract]:In the traditional financial research, investors' attention is continuously concentrated, which can digest all kinds of information and reflect it to the price of assets. However, this is not the case, and investors' attention is limited. There are active and passive concerns, so we can not pay attention to all the open and private market information. Scholars believe that investors pay attention to the formation of securities prices in the process. In China's capital market, a large number of investors pay attention to the blind and carry out arbitrage behavior. In order to better measure investor concern. To understand the impact of investor concern on the stock market, this paper introduces a new proxy variable, Google search quantity Index, as the active concern of investors; At the same time, the crawler program is used to capture the data of traditional news media, and the index of news coverage is used as the proxy variable of investors' passive concern. The relationship between investor concern and specific return in stock market is studied. Firstly, the relationship between search volume index, news coverage index and other agent variables concerned by investors is analyzed. Then, based on the A-share market samples and IPO company sample data after June 2004, investors are concerned about the relationship between stock market prices. In particular, the impact of investor concern on stock prices is studied. The results show that the correlation between active and passive concerns of investors is negative. And there is a transfer path between "offline" and "online"; Investors' attention does have great influence on stock price, but the influence of active concern and passive concern on stock price is different. The month before the IPO, investors were more proactive in focusing on predictability, while in the first two to three weeks of IPO, investors were passively focused on more predictability. The results of this paper can provide retail investors with a better understanding of China's stock market and be able to think calmly when the market is fanatical. At the same time, it can also provide reference for the relevant management decision-making departments, so as to standardize the information disclosure behavior of listed companies in China, and guide the Chinese capital market to mature and standardize.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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