投资者有限注意对我国股票市场投资者行为的影响研究  

Limited Attention: the Impact on Investor Behavior in Stock Market

作　　者：尚秀芬[1] 

机构地区：[1]上海金融学院国际金融学院,上海201209

出　　处：《上海金融学院学报》2013年第3期50-58,共9页Journal of Shanhai Finance University

基　　金：上海市教委科研创新项目(B-7600-13-005)

摘　　要：随着行为金融学的发展,人们逐渐认识到,投资者注意力成为一种稀缺资源,它增加了信息搜寻成本,对资产定价、投资决策等具有重大影响。根据投资者有限注意,通过将用户关注度作为代理变量,研究用户关注度对于沪深指数波动的影响。研究发现:在重大事件发生时注意力驱动交易对次周收益率产生显著影响;注意力驱动交易的增加会正向地影响当期成交量;同时,投资者注意力的增加会减少未来交易量。With the development of behavioral finance,people gradually realized that limited attention of investors is a scarce resource,and it can greatly affect the pricing of assets and investment decision.Based on limited attention theory,by using Baidu’s attention index as the proxy variable,regression model was established to investigate the influence of limited attention of investors on the return and trading volume of HS300 index.When a major event occurs,attention-driven trading has a significant effect on return of next week.Increasing investor attention will increase the current trading volume,but will reduce future trading volume in the long term.

关 键 词：有限注意力 沪深指数 百度指数 

分 类 号：F830.9[经济管理—金融学]