投资者关注度对股票收益率的影响——基于百度指数指标  

The Influence of Investor Attention on Stock Yield——Based on the Baidu Index

作　　者：王镇[1] 郝刚[1,2] 

机构地区：[1]东北财经大学应用金融研究中心,辽宁大连116025 [2]中国证券监督管理委员会大连监管局,辽宁大连116000

出　　处：《新疆财经》2013年第5期14-21,共8页Finance & Economics of Xinjiang

摘　　要：本文选取上海证券交易所中来自不同行业的30只股票作为研究对象,将百度指数提供的用户关注度数据作为投资者关注度的度量指标,通过建立面板数据模型,研究了投资者关注度对股票收益率的影响。结果发现,当期投资者关注度对股票收益率有正向影响,前期投资者关注度对股票收益率有负向影响;同时,股票平均换手率与投资者关注度与对股票收益率的影响相同,说明把股票平均换手率作为投资者关注度的替换指标具有一定的合理性。This paper selects 30 stocks from different sectors in Shanghai Stock Exchange as an object of study, and Baidu index user attention data provided as investor concern about the metrics. By establishing the panel data model to study how investor at-tention affects the stock yield, we find that the current investor attention has a positive influence on stock yield, and early investor attention has a negative impact on stock yield. Moreover, we also find that the average turnover has the same influence on stock yield just like the investor attention, which points out it is of certain rationality to regard the average turnover as a replacement in-dicators of the investor attention in the past.

关 键 词：投资者关注度 股票收益率 百度指数 

分 类 号：F224[经济管理—国民经济] F49F832.51