基于百度指数的投资者关注与股票市场量价研究

发布时间：2018-01-06 02:22

本文关键词：基于百度指数的投资者关注与股票市场量价研究　出处：《广东商学院》2013年硕士论文　论文类型：学位论文

【摘要】：互联网的广泛应用带来信息的急剧膨胀，然而个体的注意力却是一种稀缺资源，两者的矛盾凸显出注意力分配的重要性。作为人的一种主观抽象行为，关注度难以进行精确的量化，对关注现象进行深度研究也就遇到了瓶颈。以百度指数衡量的投资者关注度能较为精确地反映投资者对某一事物的主观关注程度，为投资者心理与股票市场之间作用机制的相关研究领域带来了曙光，，亦使得资本市场中的注意力理论研究成果更具解释力和预测力。心理学研究表明，投资者在决策过程中遵循着此流程：信息关注——信息加工——投资决策。在个体有限理性的假设下，准确衡量投资者关注程度一直是学术界的一大难题，股票市场中投资者关注如何影响股票量价也值得深入探讨。据此，本文以上证180指数的样本股为研究对象，以百度指数用户关注度衡量投资者关注度，分别考察了投资者关注对股票流动性及股票收益的影响。研究表明：（1）投资者关注与股票流动性指标及收益指标正相关。（2）在控制其他影响因素后，投资者高关注度将伴随高市场流动性，注意力会驱动投资者进行交易。（3）对信息的当期关注会对股票收益产生正向影响，但这一现象将在一段期间后发生反转。综上所述，本文的贡献主要在于以百度指数来衡量投资者关注程度，并选取上证180指数样本股为研究对象，能在一定程度上解释中国投资者的关注现象，投资者关注与股票市场量价的影响研究验证了注意力的重要性，探索了投资者信息反应机制，同时有利于培养投资者理性决策的观念。
[Abstract]:The wide use of the Internet has brought about the rapid expansion of information, but the individual's attention is a scarce resource, the contradiction between the two highlights the importance of attention distribution, as a subjective abstract behavior of human. It is difficult to quantify the attention accurately, and the in-depth study of the attention phenomenon has met a bottleneck. The investor attention degree measured by Baidu index can accurately reflect the degree of subjective concern of the investor to a certain thing. It brings the dawn to the research field of the action mechanism between investor psychology and stock market, and also makes the attention theory research in the capital market more explanatory and predictive. Psychological studies show that investors follow this process in the decision-making process: information concern-information processing-investment decision-under the assumption of individual bounded rationality. Accurately measuring the degree of concern of investors has been a major problem in the academic community, in the stock market investors pay attention to how to affect the stock price is also worth in-depth discussion. This paper takes the sample stock of Shanghai 180 index as the research object, and measures the investor's attention by the user's attention of Baidu index. The effects of investor concern on stock liquidity and stock returns are investigated. The study shows that investor concern has positive correlation with stock liquidity index and return index. 2) after controlling for other influencing factors, investors' concern is positively related to stock liquidity index and return index. High investor attention will be accompanied by high market liquidity, attention will drive investors to trade. 3) the current focus on information will have a positive impact on stock returns. But the phenomenon will reverse over time. To sum up, the contribution of this paper mainly lies in the Baidu index to measure the degree of investor concern, and select Shanghai 180 index sample as the research object, can explain the phenomenon of Chinese investors' attention to a certain extent. The research on the influence of investor attention and stock market volume and price proves the importance of attention, explores the mechanism of investor information reaction, and helps to cultivate the concept of rational decision-making of investors.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.51

【引证文献】