公司新闻、投资者关注与股价运行——来自股吧的证据

发布时间：2018-03-11 21:50

本文选题：股吧　切入点：投资者关注　出处：《华东师范大学学报(哲学社会科学版)》2017年06期 　论文类型：期刊论文

【摘要】：作为体现媒体关注度的对上市公司的新闻报道量,以及投资者对特定上市公司或股票的关注度等是否会影响对应股票价格的运行,这乃是行为金融学的重要研究领域。基于持续跟踪了半年之久的东方财富股吧中37万多条信息转化而来的数据进行的实证研究表明,以股吧中的发帖数衡量的投资者关注度、公司新闻量以及公告数对相关股票当周的价格波动幅度均分别具有较为显著的影响,且公告数与对应股价的波幅呈负相关,但这种影响具有时效上的短促性。股吧发帖数、公告数与当周和下一周的股价涨幅均不存在显著相关性,而公司新闻量对当周的股价涨幅有明显的正向影响。媒体新闻与公司公告数几乎没有关联性,但公司的新闻报道会在一定程度上引起投资者的关注。
[Abstract]:Whether the amount of news coverage of listed companies, as a reflection of media attention, and the attention of investors to specific listed companies or stocks will affect the operation of the corresponding stock prices, This is an important area of research in behavioral finance. Empirical research based on data translated from more than 370,000 pieces of information in the Oriental Wealth Bar, which has been tracking for six months, shows that investor interest is measured by the number of posts posted in the stock bar. The amount of company news and the number of announcements have significant effects on the price fluctuation of the relevant stocks during the week, and the number of announcements is negatively correlated with the volatility of the corresponding stock price, but this effect has a short-term effect on the time limit. There was no significant correlation between the number of announcements and the share price increases of the current week or the following week, but the amount of company news had a significant positive effect on the stock price increase of that week. There was almost no correlation between media news and the number of company announcements. But the company's news reports will, to some extent, attract investors' attention.
【作者单位】：华东师范大学经济与管理学部;华东师范大学经济与管理学部实验室;
【分类号】：F832.51

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