《新闻联播》与股市异动的关系研究——基于注意力理论的解释  

Research on the Abnormal Fluctuation Between CCTV News and Stock Market:Based on Attention Theory

作　　者：罗孝玲[1] 马世昌[1] 罗丹[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《统计与信息论坛》2013年第6期3-9,共7页Journal of Statistics and Information

基　　金：国家创新研究群体项目<复杂环境下不确定性决策的理论与应用研究>(70921001);国家自然科学基金项目<基于有限注意的资本市场有效性研究>(71071166)

摘　　要：利用事件研究法,检验了《新闻联播》播报上市公司的新闻对该公司股价和交易量的影响,在此基础上,基于注意力理论,分别选择Google Trends搜索指数、公司市值规模作为投资者注意力、信息不对称程度的代理指标,构建了多元线性回归模型,研究股市异动的根源。检验结果表明:《新闻联播》导致了股市异动,股价在新闻报道后第2日出现0.36%的异常上涨,第3日至第15日发生0.92%的反转;交易量也在新闻后出现了1.87倍的异动。基于注意力理论的解释性研究表明:《新闻联播》所引起的股市异动,部分是由信息效应产生的,更关键的原因在于注意力驱动下的购买压力效应。此项研究丰富了行为金融的研究视域,并对投资者的投资决策提供了科学依据。In this article, we choose CCTV News as events sample to study the influence of CCTV News Report on stock prices and explain the effect empirically; then we built a multivariate regression model to study the origin of the abnormal fluctuation. First, we choose Event Study Method to account the CCTV News Effect. We find that the stock prices went up greatly by 0. 36% on the second day after being reported; after that there is a stock price reversal, and the amplitude is 0. 92% since the third day to the 15th day. At the same time, the volume on the second day after being reported is 0. 87 times more than the normal volume. Then, we construct multivariate regression model with Access Return as the dependent variable, Search Volume Index （SVI） of the Google Trends and stock market value as the agent variable of investorg attention and the degree of information asymmetry separately. The results show that CCTV News Effect is partly caused by information hypothesis, and the key reason is the buying pressure driven by the attention. This paper enriches the research perspectives of behavioral finance and provides scientific suggestions for investment decisions.

关 键 词：《新闻联播》 事件研究法 注意力理论 搜索指数 

分 类 号：F830.91[经济管理—金融学]