媒体关注与投资者关注对股票收益的交互作用:基于中国金融股的实证研究  

Impacts of interactions between news attention and investor attention on stock returns: Empirical investigation on financial shares in China

作　　者：刘锋[1] 叶强[1] 李一军[1] 

机构地区：[1]哈尔滨工业大学管理学院,哈尔滨150001

出　　处：《管理科学学报》2014年第1期72-85,共14页Journal of Management Sciences in China

基　　金：国家杰出青年科学基金资助项目(71225003)

摘　　要：多数现有研究在分析媒体关注与股市关系时,仅关注了简单的直接相关关系,未分析媒体关注与投资者关注在影响股票收益过程中产生的交互作用,未能说明媒体对股市的作用机理.本研究引入传播学议程设置理论,以中国金融类股票为研究样本,基于百度搜索引擎采集媒体关注度和投资者关注度数据,通过简单回归分析表明,投资者关注度与当期的股票收益具有正向直接相关关系,而媒体关注度对当期股票收益具有负向的直接相关关系,在引入媒体关注度与投资者关注度的交互效应后,研究发现,媒体关注度与股票收益的直接相关关系不再稳定,且媒体关注度对股票收益的影响程度显著弱于投资者关注度对股票收益的影响程度,而媒体关注与投资者关注的交互作用对当期股票收益具有显著正向影响.研究表明,因媒体信息传播而导致的投资者关注及其投资行为才是引起股票收益变化的直接动因,而媒体对特定股票的关注可以放大投资者关注对股票收益的影响程度.Most existing studies separately investigate the direct correlations between media attention/investor attention and stock returns, which cause some inconsistent results. To further investigate the relationship a- mong media attention, investor attention and stock price, agenda-setting theory is introduced into the study. With stocks of financial sector shares in China as the research sample, we retrieved media attention and inves- tor attention data by the world~ largest Chinese search engine and established a panel model. A pretest of sim- ple correlations analysis predicts that the amount of media attention is negatively correlated with the stock re- turn and the amount of investor attention is positively correlated with the stock return. However, after introdu- cing the interaction term between media attention and investor attention, the negative impact of media attention is unstable （vanishes） , and the influence of media attention on the current stock returns is weaker than the in- fluence of investor attention on the stock returns. Moreover, we found a significant and positive moderate effect of media attention on the relationship of investor attention and stock returns. The results indicate that investor attention and the consequent investment behavior is the direct motive force for the changes in stock returns, meanwhile the media plays an important role in amplifying the effect of investors＇ attention on stock returns.

关 键 词：媒体关注度 投资者关注度 交互作用 股票收益 议程设置理论 

分 类 号：F832.5[经济管理—金融学] C931[经济管理—管理学]