信息传播渠道差异与股票定价研究

发布时间：2018-01-02 00:02

本文关键词：信息传播渠道差异与股票定价研究　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：信息在证券市场的价格发现上起着决定性作用,一定程度上可以称作金融的本质。在社会媒体迅速发展、大数据时代背景下,证券市场上的个体在分析和决策时依据的信息来源与形式变得多元化,也伴随着不同于以往的搜寻方式和利用信息的行为。信息通过不同的传播渠道作用于证券价格,探讨不同信息传播渠道本身对证券价格的影响,对于研究信息对资产定价影响方面意义重大。本文从理论和实证两个角度研究了传统类和社会媒体类信息传播渠道对我国股票市场价格的影响。理论方面,将资产定价理论、金融理论中信息相关理论和信息传播动力学理论相结合,给出了信息传播渠道的定义,即具有一定网络结构和传播特征的互联网信息载体。根据社会关系强弱和信息传播机制的不同,把股票信息传播渠道分为传统信息渠道和社会媒体渠道两大类。从信息渠道影响投资者关注及行为角度,将信息渠道、投资者决策与股票市场连接起来,分别梳理了两种信息渠道对股票市场的影响机理,提出了一个能够合理描述金融市场信息传播与定价的理论框架。实证方面,利用百度指数和微博指数上股票简称的搜索数据,作为反映不同信息渠道上投资者的关注度,验证不同信息传播渠道对股票市场的影响。研究发现:(1)基于传统信息渠道,投资者对市场股票的关注总体是稳定的,只是在个股的关注上有所差异;对个股的异常收益率解释能力不足,但对个股换手率和成交量有较强的解释能力;传统信息渠道在投资者获取信息上仍旧发挥着重要作用,对股票市场的影响是非常显著的。(2)基于社会媒体渠道,投资者对市场股票的关注总体是稳定的,但对个股的关注极差很大,存在马太效应;对个股换手率有较强的解释能力,但对个股异常收益率和成交量的解释能力有限,远不如传统信息渠道;在股票整体异常收益率上,较传统信息渠道具有更强的解释力。(3)当某只股票受到事件或消息影响时,社会媒体渠道的作用要明显大于新闻媒体等参与度较低的传统信息渠道;相对于传统信息渠道,社会媒体渠道会降低市场的异质程度,对市场整体的有效性具有推动作用。
[Abstract]:The price information in the securities market that plays a decisive role to a certain extent, nature can be called financial. In the rapid development of social media, big data background, information sources and forms of securities market on the individual in the analysis and decision on the become diversified, also with different search methods and use information behavior. Information on the stock price through the communication channels of different functions, explore the different channels of information dissemination itself the impact on stock prices, for the study of information influence significance on asset pricing. This paper studies the impact of traditional and social media information dissemination channels on the price of the stock market of our country from two aspects of theory and empirical. In theory, the theory of financial asset pricing theory, information theory and information dissemination dynamics theory, the information transmission channel The definition of Internet information carrier that has a network structure and communication characteristics. According to the strength of social relations and information dissemination mechanisms, the stock information dissemination channels are divided into traditional information channels and social media channels into two categories. From the information channel influence angle of injection and investor behavior, information channels, and investors the stock market is connected, the mechanism of the effect of two kinds of channels of information on the stock market were combing, puts forward a theoretical framework of financial market can reasonably describe the dissemination of information and pricing. The empirical analysis, using Baidu search data index and micro-blog index stock short, as a reflection of different information channels on the investor's attention, verification effect of different channels of information dissemination on the stock market. The study found that: (1) based on the traditional information channels, investors on the stock market is stable overall attention The only difference in the stocks of concern; abnormal return rates of stock to explain the lack of ability, but the stock turnover rate and turnover have strong explanatory power; traditional information channels in investors access to information still plays an important role on the stock market, the impact is very significant. (2) based on social media channels, investors on the stock market's attention is generally stable, but the stocks of the attention range is large, there Matthew effect; on the stock exchange rate has a strong ability to explain, but the rate of abnormal returns and stock volume interpretation ability is limited, far better than the traditional channels of information in stock; the abnormal rate of return, compared with the traditional channels of information has more explanatory power. (3) when a stock by events or news, social media channels to be significantly greater than the role of news media in the traditional low degree of information Channels, compared with traditional information channels, social media channels will reduce the heterogeneity of the market and promote the effectiveness of the market as a whole.

【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：G206;F832.51

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