中国股市网络关注度效应和媒体效应的实证对比研究

发布时间：2018-03-16 11:06

本文选题：有限注意力　切入点：网络关注度效应　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：今天,互联网,大数据正改变着我们的生活,也改变着我们获取信息和做出投资决策的方式。股票市场中林林种种的异象已经无法用传统金融学的理论框架来解释。随着互联网技术的发展,从金融行为学和投资者关注度有限理论角度检验股票市场中存在的网络关注度效应和媒体效应的文章越来越多。为了实证和检验中国股市中的网络关注度效应和媒体效应,本文选取所有沪深A股及创业板股票为研究样本,以股吧论坛的信息数据为关注度代理指标,构造了投资者关注度指标和意见分歧指标,应用相关性分析和面板回归,实证检验了网络关注度效应在中国股票市场的存在。另外,为了探究投资者关注的驱动因素,检验网络关注度指标是否适用于实际操作,本文创新的提取了主流媒体利好消息事件和投资者关注度异常事件,应用事件研究法,进行对比研究,发现主流媒体利好消息事件能带来更可观的超额收益率。本文的最主要的创新点主要有两点,一是利用爬虫和全文检索的计算机技术,获取了全部沪深A股及创业板的网络论坛数据以及主流媒体利好消息数据,在尽可能大的样本下验证了网络关注度效应和媒体效应。二是将网络关注度数据提取成事件,利用事件研究法,对比检验了网络关注度效应和媒体效应的强弱,并给个人投资者和监管部门提出了策略性建议。
[Abstract]:Today, the Internet, big data is changing our lives, It also changes the way we get information and make investment decisions. Lin Lin's visions in the stock market can no longer be explained by the theoretical framework of traditional finance. With the development of Internet technology, There are more and more articles examining the network attention effect and the media effect in stock market from the angle of financial behavior and investor's limited attention theory, in order to prove and test the network attention effect and media effect in Chinese stock market. This paper selects all Shanghai and Shenzhen A shares and gem stocks as the research samples, takes the information data of the stock bar forum as the proxy index of concern, constructs the index of investor's attention degree and opinion divergence index, and applies the correlation analysis and panel regression. In addition, in order to explore the driving factors of investors' concern, this paper tests whether the network attention index is applicable to the actual operation, in order to test the existence of the network attention effect in China's stock market. This paper innovatively extracts the good news events of the mainstream media and the abnormal events of investors' attention, and applies the method of event research to carry on the comparative research. It is found that good news events in mainstream media can bring more substantial excess returns. There are two main innovations in this paper, one is the use of crawler and full-text retrieval of computer technology, We have obtained all the online forum data of Shanghai and Shenzhen A shares and gem and the positive news data of mainstream media, and verified the network attention effect and media effect under the largest sample possible. Secondly, we extracted the network attention data into events. By using the event research method, this paper compares and tests the network attention effect and the media effect, and puts forward some strategic suggestions to the individual investors and the supervision department.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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