社交网络、投资者关注与股价同步性

发布时间：2018-01-09 19:09

本文关键词：社交网络、投资者关注与股价同步性　出处：《管理科学学报》2017年02期 　论文类型：期刊论文

【摘要】：随着以微博、微信为代表的社交网络信息平台在中国的崛起,形成了新媒体时代下信息资讯生成与扩散的完整传播链条,深刻地影响着金融市场参与主体的学习认知习惯、投资决策理念、交易行为模式,最终影响不同金融资产的价格波动规律.本文在新媒体时代情景下,以社交网络信息披露与传播平台为切入点,基于信息关注度、信赖度、更新频率等三层维度,构建社交网络微博信息质量指标体系,研究社交网络信息质量与股价同步性的内在关联关系.研究表明:微博信息质量与股价同步性有着显著的高度负向线性关联性,并且呈现出非线性U型关系.即随着社交网络信息质量水平的提升,股价同步性逐渐降低到达最小值,而后又逐渐提高.研究结论为证明上市公司社交网络微博平台对股价同步性有较强影响力,提供了中国金融市场的证据.
[Abstract]:With the rise of micro-blog, WeChat as the representative of the social network information platform in China, formed a complete chain of transmission of information generation and diffusion under the new media era, profoundly affects learning cognitive habits financial market participants, investment decision-making idea, transaction behavior pattern, and ultimately affect the price fluctuations of different financial assets in the new media era. In this scenario, the platform of social network information disclosure and dissemination of information as a starting point, attention, based on reliability, updating frequency three dimension, to build a social network of micro-blog information quality index system, the inner relationship between social network information quality and stock price synchronicity. Research shows that: micro-blog information quality and stock price synchronicity is significantly high negative linear correlation, and presents the U type nonlinear relationship. With the information quality level of social network. The stock price synchronization decreases gradually to the minimum and then gradually improves. The conclusion is to prove that micro-blog platform has strong influence on stock price synchronicity, and provides evidence for China's financial market.

【作者单位】：南京大学工程管理学院;
【基金】：国家自然科学基金资助项目(71101068;71171109;71203144;71501131) 江苏省金融工程重点实验室开放课题资助项目(NSK2015-09) 江苏省自然科学基金资助面上项目(BK20161398)
【分类号】：C912.3;F832.51
【正文快照】： 0引言股价同步性衡量了公司股价波动与市场平均波动间同涨同跌的关联程度.正如Roll[1]指出了CAPM模型的拟合优度与市场异质信息的直接关联,市场信息包括宏观市场与公司的不同层面信息,股价同步性程度强弱变化关键在于宏观市场信息与公司信息分别多大程度上反映在股价中[2].国

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