股票论坛信息与IPO短期市场行为

发布时间：2018-05-24 23:26

本文选题：股票论坛信息 + 投资者情绪　；参考：《天津大学》2012年硕士论文

【摘要】：随着互联网的迅速发展，尤其是Web2.0时代的到来，网络逐渐成为投资者获取信息和股票交易的重要来源。从上世纪90年代以来，西方国家的股票论坛、财经博客等就受到证券市场从业者、政策制定者和研究者的关注。从目前已有文献来看，网络信息发布行为对股票市场具有一定的影响力。另外，由于IPO上市首日的异常表现也是金融学界研究的一个热点，因此，本文借助我国网络论坛研究我国网上投资者情绪与IPO上市后短期异常现象之间的关系，为揭示IPO异象的形成机理和监管部门加强网络监管提供实证依据，同时也对网上交易者进行投资决策具有重要的指导意义。首先，本文简单介绍了我国新股市场的特点，随后从不同的角度阐述了国内外网络信息与股票市场的研究现状，通过对国内外文献的概括发现，尽管学者们对网络信息与股票市场的关系没有给出一致的结论，但他们均认可“网络信息不仅仅是噪音”这一观点，这些结论对本研究的开展具有重要的指导意义。第三部分首先介绍了本研究的理论基础和方法依据，随后运用文本挖掘技术获取初始研究数据，并详细描述了样本数据预处理的一个重要方法——朴素贝叶斯分类器。然后引入行为金融学的投资者情绪理论及其代理变量的研究现状，最后通过构建投资者偏好、投资者乐观情绪以及投资者意见分歧程度度量指标对投资者情绪与IPO之间的关系进行实证研究，分析我国IPO市场与互联网信息的内在联系。本文收集2012年6月到2012年9月期间新上市的所有A股数据，基于行为金融学的角度对网络信息发布行为所反映的投资者情绪与IPO市场进行研究，结果发现我国投资者在互联网上发布股票信息时并未表现出对个别公司的偏好现象，股票论坛信息体现的投资者情绪对IPO收益影响不大，但与IPO上市首日交易量显著相关，且投资者绝对乐观情绪指数越高、意见分歧程度越大，IPO首日交易量越大，对IPO上市2日后交易量无明显作用。另外，，作者还比较了网络信息对不同板块上市新股的影响力，发现创业板与中小板的IPO受投资者信息发布行为的影响作用无明显差别。最后，根据研究设计和实证结果，总结了本研究的不足，并提出下一步研究方向。
[Abstract]:With the rapid development of the Internet, especially the arrival of the Web2.0 era, the network has gradually become an important source for investors to obtain information and stock trading. Since the 1990s, stock forums and finance blogs in western countries have attracted the attention of stock market practitioners, policy makers and researchers. From the current literature, the behavior of network information release has a certain influence on the stock market. In addition, because the abnormal performance of IPO on the first day of listing is also a hot topic in financial circles, this paper studies the relationship between investor sentiment on the Internet and the short-term abnormal phenomenon after IPO listing in China with the help of China's Internet Forum. In order to reveal the formation mechanism of IPO anomalies and strengthen the supervision of network supervision to provide empirical basis, it also has important guiding significance for online traders to make investment decisions. First of all, this paper briefly introduces the characteristics of the new stock market in China, and then expounds the research status of the domestic and foreign network information and stock market from different angles, through the summary of the domestic and foreign literature findings. Although scholars have not come to a consistent conclusion on the relationship between network information and stock market, they all agree that "network information is not only noise", these conclusions have important guiding significance for the development of this study. In the third part, the theoretical basis and method basis of this study are introduced firstly, then the initial research data are obtained by text mining technology, and an important method of sample data preprocessing, naive Bayes classifier, is described in detail. Then introduce the behavioral finance investor sentiment theory and its agent variables research status, finally through the construction of investor preference, This paper makes an empirical study on the relationship between investor sentiment and IPO and analyzes the internal relationship between IPO market and Internet information in China. From June 2012 to September 2012, this paper collected all the new A share data from June 2012 to September 2012, and based on behavioral finance, we studied the investor sentiment and IPO market reflected by the behavior of online information publishing. The results show that Chinese investors do not show a preference for individual companies when they publish stock information on the Internet. The investor sentiment reflected in stock forums has little effect on IPO returns, but it is significantly related to the trading volume on the first day of IPO listing. Moreover, the higher the index of absolute optimism, the greater the degree of divergence of opinions and the greater the trading volume on the first day of IPO, which has no obvious effect on the trading volume of IPO two years after listing. In addition, the author compares the influence of network information on the new shares listed in different sectors, and finds that there is no significant difference between the IPO of gem and the small and medium-sized board by the behavior of investor information release. Finally, according to the research design and empirical results, summarized the shortcomings of this study, and proposed the next research direction.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.51

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