媒体报道信息对于投资者关注度的影响研究

发布时间：2018-01-13 07:06

本文关键词：媒体报道信息对于投资者关注度的影响研究　出处：《北京第二外国语学院》2017年硕士论文　论文类型：学位论文

【摘要】：传统金融理论假设市场是有效率的,股票价格充分反映了所有公开信息与私有信息,然而事实情况并不是理论假设的这样。随着信息传播速度的加快以及近年来证券市场的飞速发展,证券市场上每天都充斥着海量信息,而且中国股市场普遍是个人投资者,受认知偏差、专业知识以及信息获取渠道的影响,个人投资者的投资决策主要依靠能够引起他们注意力的那部分信息。基于此心理学中关于“有限关注度假说”的研究,越来越受到行为金融学者的热捧。现有关于“有限关注度假说”的文献大多致力于投资者关注度对股票价格影响的分析,极少有文献研究关于影响投资者有限关注度的因素。面对当今媒体报道信息膨胀的股票市场,本文以媒体报道信息对投资者有限关注度的影响为出发点,结合行为金融学和有限关注度等理论,截取2013年2月至2016年2月间,沪深股市上2929只A股在360搜索引擎中股票代码搜索量数据以及国泰安数据库中关于媒体A股报道信息的数据,其中,针对媒体报道信息采取无监督机器学习的方法,将媒体报道的文本信息分为10类。通过研究信息被披露以后,对投资者有限关注度影响的变化趋势,分析信息在股票市场上的传导机制。通过实证分析媒体报道信息对投资者有限关注度的影响,本文得出以下结论:第一,不同内容主题的媒体报道信息均能引起投资者的关注度,其中投资者对于并购重组内容主题的信息关注度较高,对于股票市场资金流向内容主题的信息关注度相对较低;第二,实证结果发现在我国股票市场媒体报道不是投资者获取信息的主要渠道,媒体报道信息存在严重的滞后性。在媒体报道前4天投资者已经开始加大对相关股票的关注度,在媒体报道当天,股票关注度达到最大值,在随后6天内投资者关注度保持在相对稳定的水平,表明投资者的有限关注度具有持续性;第三,本文通过研究财务信息对投资者关注度的影响发现,相对于详细琐碎的信息,投资者更倾向于关注概要性信息。基于此向媒体提出精简报道信息内容的建议以达到信息有效传达的预期目的。
[Abstract]:Suppose the market of traditional financial theory is efficient, stock prices fully reflect all public and private information, but the fact is not such a hypothesis. With the accelerated pace of information dissemination and in recent years the rapid development of the securities market, the stock market every day is full of massive information, and Chinese stock market generally is personal investors, by cognitive bias, influence of professional knowledge and access to information, personal investors rely mainly on the part of information can arouse their attention. The research on "holiday limited attention" the psychology based on behavioral finance scholars more and more favorable. Analysis of the existing literature on "limited attention hypothesis" the most committed to the influence of investors' attention to the stock price, there is little literature on the effects of limited attention of investors The degree of the factors. In the face of today's media reports the expansion of the stock market, according to media reports of limited attention of investors as a starting point, combined with the behavioral finance and the limited attention theory, from February 2013 to February 2016, the Shanghai and Shenzhen stock markets on the media reports the data of A shares, A shares in 2929 360 search engines in stock code search volume data and database in Tai'an, take the method of unsupervised learning for media information, the media coverage of the text is divided into 10 categories. After the research on the information disclosure on the trend of changes in the degree of influence the investors' limited attention, analysis of information transmission mechanism in the stock market the analysis of media reports information on the effects of limited attention of investors, through empirical research we draw the following conclusions: first, the media reported the information content of different themes Can cause the attention of investors, including investors for mergers and acquisitions subject information high degree of concern for the stock market, the flow of funds subject information of a relatively low degree of concern; second, the empirical results show that the main channel is not investment information in the media of China's stock market reports, media information there is a serious lag in the media reports. 4 days before investors have begun to increase the stock of the attention, the media reported on the same day, the stock reached the maximum degree of concern over the next 6 days, investors' attention is maintained at a relatively stable level, show that investors with limited attention with persistence; third, through the study of financial information investors'attention effect was found, with little information relative to the investors tend to focus on summary information. Based on this proposed to streamline the report to the media Suggestions for information content to achieve the desired purpose of effective communication.

【学位授予单位】：北京第二外国语学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：G212;F832.51

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