中国股市媒体效应研究：官方新闻、市场谣言与有限注意力

发布时间：2018-01-09 20:17

本文关键词：中国股市媒体效应研究：官方新闻、市场谣言与有限注意力　出处：《西南财经大学》2012年博士论文　论文类型：学位论文

【摘要】：股票市场历来是媒体关注的焦点,各类媒体新闻和市场谣言均充斥其中,这些海量媒体报道对广大投资者甄别与接收信息造成了极大的困难。然而,到目前为止,针对这样一个重要经济领域的金融异象,学界却没有相关研究对我国股票市场上的媒体效应进行全面分析。本文尝试搜集、整理并且估计各类媒体新闻的主要内容、传播机制、冲击效应和其他特征,为中国股票市场上的媒体效应提供一个概貌式的学术性描述。总的来说,本文是一篇实证研究文章,主要目的是考察中国股市上的媒体效应。文章以官方权威新闻和市场谣言为切入点,全面考察了短期、中期和长期内,媒体信息对股票价格的冲击过程。本篇论文结合行为金融学和心理学有限注意力等理论观点,运用事件研究法、双差分法以及滚动窗口组合业绩分析法来估计股票价格对媒体新闻的异常反应,实证考察投资者对信息的接收过程以及由此引发的投资决策和交易行为,对媒体效应导致的股价异象提出理论解释、政策指导和投资者建议。本篇论文主要内容分为三部分：官方新闻效应、市场谣言效应和基于两类媒体效应的投资策略检验。首先,针对官方新闻的媒体效应研究,我们重点关注以下几个方面：第一,新闻联播上市公司报道的信息特征,比如新闻关注的内容,新闻的倾向性,报道对象的公司特征、行业分布、地区分布及背景分布,等等；第二,新闻联播对股价的冲击效应,包括短期、中期和长期不同时间窗口下的媒体效应；第三,新闻联播选择报道对象的概率倾向,比如,新闻联播偏爱报道哪种类型的上市公司? 通过对样本数据的搜集、整理和模型估计,我们可以总结出新闻联播报道对象的基本特征：第一,从统计描述上来看,新闻联播主要关注规模巨大、隶属支柱型产业、地处东部地区、具有国有背景的上市公司;第二,从probit模型实证结果来看,规模超大、隶属支柱型产业、具有国有背景和股票业绩表现不佳的上市公司更易受到新闻联播的青睐,具备这些特征的上市公司被新闻联播报道的概率显著大于其他类型的公司。除此之外,本文官方新闻效应的实证结果表明：短期内,投资者容易忽视新闻信息,新闻联播传递的股票信息并不能及时地反映到股价中去；经历十五个交易日左右的反应滞后期以后,投资者开始慢慢意识到新闻的信息价值,并将信息融入到自己的股票认知中,形成交易决策,指导自身的交易行为,从而引起股票收益率的显著变动；长期来看,官方新闻对股票价格的冲击会持续数月,信息的吸收融会是一个漫长的过程。总的来说,新闻联播会对股票造成持续性地冲击,引发股票显著的异常收益,是中国证券市场中明显的金融异象。其次,针对市场谣言的研究,我们开展了以下三方面的基础性工作：第一,文章对市场谣言进行了全面地学术化梳理。本文的样本统计描述结果告诉我们,在中国证券市场中,绝大多数市场谣言是有关企业运营能力和资本运作的利好谣言；谣言传播渠道非常广泛,既有传统的媒体平台(例如广播、电视、报纸等),也有新兴的网络渠道(例如互联网媒体、社交媒体、手机媒体等),既有一般性商业媒体、也有证监会指定的信息披露媒体；涉谣公司非常多,既有大型公司、也有小型公司,既有明星公司、也有冷门公司,现实中似乎有一些公司非常容易涉谣。第二,我们针对市场谣言效应的研究发现,首先,股价对谣言有剧烈快速的反应,传谣能够引发显著的股票异常收益,传谣观察窗口期内累计的股票异常收益率超过5.55%;其次,辟谣并不能及时消除传谣带来的股价冲击,投资者对澄清公告的反应滞后,从总体样本来看,辟谣公告发布后的第十个交易日,样本股票的价格依然远离传谣之前的均衡水平;最后,谣言效应不仅引起了股价异动,也同时伴随着股票流动性的显著改变,传谣事件发生以后,股票的交易基础发生了变化,股票流动性显著增加了。最后,我们利用以上两类媒体效应构造了相应的投资策略,组建了两类套利投资组合,从市场实践操作的角度出发,考察了媒体效应能否为投资者带来超额利润。文章的实证结果表明,基于权威新闻的套利组合在中长期内均能获得高于大盘指数水平的异常收益率,适合中长线投资者；基于市场谣言的套利组合短期异常收益明显,适合短线和超短线交易者。本文的研究将从三个方面为证券市场的实践带来指导和参考意义。第一,对政府监管媒体新闻发布、信息传播和信息披露的意义。本文全面梳理了我国证券市场官方新闻和市场谣言的现实状态,对官方新闻和市场谣言从产生、传播到反馈的整个链条进行分析。在此基础上,探讨了我国证券市场媒体新闻监管体制存在的问题,并提出有针对性和可操作性的政策建议。第二,对上市公司信息披露、改善投资者关系、维护良好市场形象的意义。不少上市公司将市场谣言视为免费的广告(犹如绯闻之于明星)。那么,谣言是对公司的免费宣传,还是对关注力的过度透支?投资者是更加喜欢一个及时辟谣、完整真实地提供全部信息的公司,还是更喜欢一个信息不透明、具有信息朦胧感的企业?本文将针对上述问题提出有针对性的政策建议,为涉谣上市公司“负责任”地信息披露(或者投资公共关系处理)提供有价值的研究结论。第三,对投资者理性决策的意义。官方新闻和市场谣言是否带来了套利空间?针对不同的媒体新闻应该采取什么样的适应性对策?传统的“小道消息买进、尽人皆知卖出”的投资策略是否有效。本文的上述研究必将对投资者的理性决策提供有价值的理论参考。本篇论文从理论、实证、统计描述和研究方法的角度,均对媒体效应的相关研究做出了贡献：第一,从理论的角度看,本文的结论证实了行为金融学理论对于媒体效应的猜测,从有限注意力的角度解释了媒体信息相关的诸多金融异象,为媒体效应研究提供了一条新的行为金融学渠道。第二,从实证的角度看,本文首次对我国证券市场上官方新闻和市场谣言如何影响股价进行分析,为监管层、上市公司和投资者观察媒体新闻的市场表现提供学理性的方法和思路。文章开创性地提出了辟谣并不能对称性地消除传谣对股价的影响,首次就辟谣对股价的冲击进行研究。上述问题和研究在世界范围内也是崭新的课题。当面对官方新闻和市场谣言时,本文分别考察了监管层、上市公司、媒体和投资者的应对策略,并检验何种策略才是有效、合理和理性的。这既涉及到证券市场信息披露制度的改善问题,也涉及到上市公司投资者关系改善问题以及媒体竞争状态改善问题,还涉及到投资者信息处理能力提高的问题,等等。第三,从统计描述的角度看,本文首次对我国官方新闻和市场谣言的内容、特征、性质、传播的渠道进行全面地梳理,从一个崭新的视角为监管层、上市公司和投资者提供有价值的参考资料和研究结论。第四,从研究方法的角度看,本文首次就突发事件对股价影响的时间长度进行分析,开创性地在事件研究法中使用两个事件和两个观察期,进一步丰富和完善了金融研究中事件研究法的运用。除此之外,文章还采用组合业绩分析法考察官方新闻对股票收益率的远期影响,发现了官方新闻套利组合存在明显的“双峰效应”。特别地,本文以官方新闻和市场谣言对股价的冲击为切入点,全面检视传统定价理论和定价模型在我国证券市场上的实用性,并使用行为金融学有限注意力观点解释观察到的实证证据。
[Abstract]:The stock market has always been the focus of media attention , all kinds of media news and market rumors are full of it , these mass media reports have caused great difficulty to the investors screening and receiving information . However , to date , there is no relevant research on the media effect in China ' s stock market . In this paper , we try to collect , sort and estimate the main contents , communication mechanism , impact effect and other characteristics of various media news , and provide a general description of the media effect in Chinese stock market . On the whole , this paper is an empirical research article , the main purpose of this paper is to examine the media effect on Chinese stock market . This paper examines the impact of media information on stock price in short - term , medium - term and long - term . This thesis is divided into three parts : official news effect , market rumor effect and investment strategy test based on two kinds of media effects . First , for the media effect research of official news , we focus on the following aspects : First , information features reported by news companies , such as the content of news concern , the tendency of news , the company characteristics , industry distribution , regional distribution and background distribution , etc . ; secondly , the impact effect of news on stock price , including short - term , medium - term and long - term media effects under different time windows ; and thirdly , the probability tendency of news and joint news selection reporting objects , for example , which kind of listed company is reported by the news agency preference report ? By collecting , arranging and model estimating of sample data , we can summarize the basic characteristics of news - joint news reporting objects : First , from the statistical description , the main focus of the news is large , it belongs to pillar industries , is located in the eastern region and has a state - owned listed company ; secondly , the listed companies with large scale , subordinate pillar industries , state - owned background and poor performance of stocks are more likely to be favored by the news online , and the probability that the listed companies with these characteristics are reported by the press is significantly greater than other types of companies . In addition , the empirical results of the official news effect in this paper show that , in the short term , investors can easily ignore news information , and the stock information transmitted by the news agency cannot be reflected in the stock price in a timely manner ; after the reaction lag period of about fifteen trading days , the investors begin to realize the information value of the news , and then integrate the information into their own stock recognition , so as to lead to a significant change in the stock yield . Secondly , in view of the research on market rumours , we have carried out the following three basic tasks : First , the article combs the market rumor comprehensively . The results of sample statistics in this paper tell us that most of the market rumors in China ' s securities market are good rumours about the operation ability and capital operation of enterprises . There are many kinds of media platforms ( such as Internet media , social media , mobile phone media , etc . ) , which have both general commercial media and information disclosure media designated by the CSRC . There are many rumors companies , both large companies and small companies , both star companies and cold - door companies . There seems to be some companies that are very easy to ballads . Secondly , we find that the stock price has a sharp and rapid response to the rumor , and the rumours can lead to significant stock abnormal earnings , and the accumulated stock returns in the window period exceed 5.55 % ; secondly , the price of the stock is still far away from the equilibrium level before the rumours . Finally , we use the above two kinds of media effects to construct the corresponding investment strategy , and set up two kinds of arbitrage portfolios . From the point of view of market practice operation , we have investigated whether the media effect can bring extra profits for investors . The empirical results show that the arbitrage combination based on authoritative news can get abnormal returns higher than the level of big disc index in the medium and long term . It is suitable for long - term investors . Short - term abnormal returns based on market rumours are obvious , which are suitable for short - line and ultra - short - line traders . The research of this paper will provide guidance and reference for the practice of the securities market from three aspects . Firstly , the significance of news release , information dissemination and information disclosure of the government ' s supervision media is analyzed . In this paper , the real status of official news and market rumors in China ' s securities market is thoroughly reviewed , and the whole chain of official news and market rumor is analyzed . On the basis of this , the paper probes into the problems existing in the media news regulation system in China ' s stock market , and puts forward some policy suggestions with pertinence and maneuverability . Second , to disclose the information of listed companies , to improve investor relations and to maintain good market image . Many listed companies regard market rumours as free ads ( like gossip at stars ) . So , rumours are free publicity for companies , or overdrafts of attention ? Investors are more interested in a company that provides all information in a timely manner , and has a vague sense of information . This article will put forward a targeted policy suggestion for the above - mentioned problems , and provide valuable research conclusions for the information disclosure ( or investment public relations treatment ) of the " responsible " information disclosure ( or investment public relations ) of the listed companies . Third , the significance of investors ' rational decision - making . Is the official news and market rumor bring arbitrage space ? What kind of adaptive countermeasures should be taken for different media news ? The traditional " small news buy - in , everyone knows sell " investment strategy is valid . The above research of this paper will provide valuable theoretical reference for investors ' rational decision - making . From the perspective of theory , demonstration , statistical description and research methods , this paper makes a contribution to the relevant research of media effect : First , from the point of view of theory , the conclusion of this paper confirms the speculation of the theory of behavioral finance on the media effect , and explains many different financial images related to the media information from the point of limited attention , and provides a new way of behavioral finance for the research of the media effect . Second , from the point of view of demonstration , this paper first analyzes how the official news and market rumors affect the stock price in our country ' s securities market , and provides a method and a thought for the market performance of the media news for the regulatory layer , the listed company and the investor . Third , from the point of view of statistical description , this paper makes a comprehensive analysis of the contents , characteristics , nature and channels of official news and market rumours in our country , and provides valuable reference materials and conclusions from a brand - new perspective to regulatory layer , listed company and investor . Fourth , from the point of view of the research method , the paper analyzes the length of the influence of the incident on stock price for the first time , further enriches and perfects the application of the event research method in the financial research . In addition , the article also uses the combined performance analysis method to examine the long - term effect of the official news on the stock yield , and finds out the obvious " double peak effect " in the official news arbitrage .

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;G206

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