网络搜索强度与中国股票市场走势的相关性分析

发布时间：2018-01-16 15:45

本文关键词：网络搜索强度与中国股票市场走势的相关性分析　出处：《华东理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：投资者完全理性是以有效市场假说为代表的传统金融学理论的前提,而有限理性的提出使这一前提受到广泛质疑。肯定投资者非完全理性和市场非有效性的行为金融学理论对于许多市场异象能够给出合乎逻辑的阐释,受到大量关注。行为金融学理论结合心理学和行为学的研究成果,从分析市场参与者的心理、信念和行为规律入手,与现实世界更为贴合,正不断流行起来。在股票市场中,行为金融学理论认为,由于投资者非理性因素的存在,股票价格会偏离其内在价值。网络搜索强度可以作为衡量市场中投资者关注度的大小,其与股票市场价格和交易量的变化密切相关。本文在已有文献的基础上,采取类似的思路,以个人投资者占比超99%的中国A股市场为研究范围,实证分析网络搜索强度与中国A股市场走势之间的相关性,以期能够为行为金融学领域的研究提供更多的数据支持。本文选取中证500指数成分股为样本,获取百度指数数据计算股票简称网络搜索强度,应用股票组合分析和回归分析两种方法,得出股票异常交易量与网络搜索强度显著正相关、股票收益率与网络搜索强度显著负相关的结论,后者与现有文献的分析结果有所不同,可能与本文所选的股票样本有关,体现了本文研究的价值与意义。
[Abstract]:Investors' complete rationality is the premise of the traditional financial theory represented by the efficient market hypothesis. The theory of behavioral finance, which affirms that investors are not completely rational and market is not effective, can give a logical explanation to many market anomalies. Behavioral finance theory combined with the research results of psychology and behavior, from the analysis of market participants' psychology, beliefs and behavior rules, and the real world is more suitable. In the stock market, behavioral finance theory believes that investors are not rational because of the existence of factors. Stock price will deviate from its intrinsic value. Internet search intensity can be used as a measure of investor attention in the market, which is closely related to the change of stock market price and trading volume. Taking the Chinese A-share market with a ratio of more than 99% for individual investors as the research scope, this paper empirically analyzes the correlation between the intensity of Internet search and the trend of A-share market in China. In order to provide more data support for the field of behavioral finance. This paper selects the CSI 500 index as the sample to obtain Baidu index data to calculate the strength of the stock search. By using two methods of stock combination analysis and regression analysis, it is concluded that the abnormal trading volume of stock is significantly positively correlated with the intensity of network search, and the return of stock is negatively correlated with the intensity of network search. The latter may be related to the stock samples selected in this paper, which reflects the value and significance of this study.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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