企业官方微博信息质量与股价同步性互动关系实证研究

发布时间：2018-05-24 06:39

本文选题：股价同步性 + 微博信息质量　；参考：《南京大学》2014年硕士论文

【摘要】：股价同步性是价格失灵的主要表现。金融学家们认为在有效的市场中,股票价格变动反映了公司特有的或者整个市场的信息,而不应与大盘保持同步的波动状态,股价同步性趋势的强弱可以用来评价个股股价中包含的信息含量。个股同步性趋势明显表明股票价格随着市场整体的波动而同步变化,意味着股价较多地反映了市场层面的信息,仅包含少量甚至没有包含公司层面的特质信息。这一现象的存在会让股价失去对投资者的指导作用,淡化了价格的导向作用。根据国内外众多学者的研究,当公司信息披露机制健全,投资者会基于信息掌握情况做出理智判断,从而降低股价的同步性程度。信息资源的披露程度和获取程度对股价具有直接的影响。随着信息技术的快速发展,网络已经成为信息获取与交换的主要手段。微博作为当今社会一种热门的用户信息获取、分享、交换的平台,它不仅可以提供大量的实时新闻,评论,谈话,还可以以其为载体进行沟通交流。官方微博是企业最具权威性和公信力的微博发布渠道,企业可以在这个平台上发布宏观经济形式背景、行业政策法规、公司经营状况、文体活动等信息,关注者可以根据自己对信息的理解与可用性对信息进行评论、转发、收藏。但是由于网络使用的便捷性,使用者的差异性使得网络信息资源质量参差不齐,为了方便信息使用者对网络信息资源进行客观公正的评价,需要构建一个评价指标体系,为使用者做出理性决策提供依据。本文选取2010年1月1日至2013年12月31日上证180成份股为样本,运用R2来对股价同步性水平进行度量,发现即便是经营良好的大公司仍然才在明显的股价同步性现象,考虑信息资源的重要性,我们结合官方微博质量系数作为主要解释变量,运用粉丝数、微博总数、活跃天数、评论数、转发数等变量构建指标体系,从关注度、信赖度、更新频率三个维度对官方微博质量进行评估。引入公司规模、换手率、账面市值比作为控制变量建立模型,对股价同步性水平进行解释。
[Abstract]:The synchronism of stock price is the main manifestation of price failure. Financiers believe that in efficient markets, stock price movements reflect information specific to the company or the market as a whole, rather than keeping pace with the market. The strength of synchronism can be used to evaluate the information content in the stock price. The synchronism trend of individual stock obviously indicates that the stock price changes synchronously with the fluctuation of the whole market, which means that the stock price reflects the information of the market level, and contains only a little or no characteristic information of the company level. The existence of this phenomenon will cause the stock price to lose its guiding role to investors and play down the guiding role of price. According to the research of many scholars at home and abroad, when the company information disclosure mechanism is sound, investors will make rational judgment based on the information grasp, thus reducing the synchronism degree of stock price. The degree of disclosure and acquisition of information resources has a direct impact on the stock price. With the rapid development of information technology, the network has become the main means of information acquisition and exchange. As a popular platform for information acquisition, sharing and exchange, Weibo not only provides a lot of real-time news, comments and conversations, but also communicates with them. The official Weibo is the most authoritative and credible Weibo release channel for enterprises. On this platform, enterprises can publish information on macroeconomic background, industry policies and regulations, company operating conditions, cultural and cultural activities, etc. Followers can comment, forward, and collect information based on their understanding and availability. However, because of the convenience of network use and the difference of users, the quality of network information resources is not uniform. In order to facilitate information users to evaluate network information resources objectively and fairly, it is necessary to construct an evaluation index system. It provides the basis for users to make rational decisions. From January 1, 2010 to December 31, 2013, 180 component stocks of Shanghai Stock Exchange are selected as samples, using R2 to measure the synchronous level of stock price. It is found that even large companies with good operation are still in the obvious phenomenon of stock price synchronism. Considering the importance of information resources, we use the official Weibo quality coefficient as the main explanatory variable, using the following variables: the number of fans, the total number of Weibo, the number of active days, the number of comments, the number of retweets and so on. Three dimensions of update frequency were used to evaluate the quality of official Weibo. This paper introduces the company size, turnover rate and book market value ratio as control variables to establish a model to explain the synchronous level of stock price.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F273.2;TP393.092

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