经济不确定衡量及对股票市场的影响——基于网络信息检索技术  

Measuring Economic Uncertainty and the Impact on the Stock Market——Based on the Technology of Internet Information Searches

作　　者：杜龙波[1] 

机构地区：[1]上海理工大学管理学院,上海200093

出　　处：《技术经济与管理研究》2014年第3期78-83,共6页Journal of Technical Economics & Management

基　　金：国家社科基金重点项目(09AZD019);上海市研究生创新基金项目(JWCXSL1301)

摘　　要：基于网络信息检索频率的基础上,提出了一种新的衡量经济不确定程度的方法。文章的研究动机来自于经济心理学的研究成果,即经济主体往往会通过信息检索的增加来反映不确定程度的增加。网络信息检索的优点主要体现在检索面广和即时性上,并且与文字相比,网络信息检索更能够客观地反映人们的行为。研究结论显示,以网络信息检索为基础的衡量经济不确定程度的方法与其他若干相关指标相比具有明显的优势,并且这种方法与整个股票市场的收益率和波动率都有着紧密的联系。This paper proposes a novel measure for economic uncertainty based on the frequency of internet information sear-ches. The theoretical motivation is offered from findings about economic psychology that agents respond to increased uncertainty by intensifying their information search. The main advantages of using Internet information searches are broad and timely. At the same time, compared with words, internet information searches can reflect people＆#39;s behaviors more obviously and subjectively. The se-arch-based uncertainty measure compares well against a peer group of alternative indicators , and it is shown to have a significant relationship with aggregate stock returns and volatility.

关 键 词：信息检索 网络检索 谷歌趋势 网络信息 股票市场 

分 类 号：F820[经济管理—财政学]