普通投资者关注对股市交易的量价影响——基于百度指数的实证研究  

The Effect of Ordinary Investors' Attention on Volume and Price of Stock Market: Empirical Evidence based on Baidu Index

作　　者：张继德[1] 廖微 张荣武[3] 

机构地区：[1]北京工商大学商学院,100048 [2]广东振戎能源有限公司财务部,510623 [3]广东财经大学会计学院,510320

出　　处：《会计研究》2014年第8期52-59,97,共8页Accounting Research

基　　金：国家社科基金重大项目(14ZDA027);国家社科基金重点项目(14AJY005);国家社科基金项目(10CGL043);北京工商大学国有资产管理协同创新中心项目(GZ20130801);北京市教委创新团队项目(IDHT20140503);科技成果转化和产业化(PXM2013_014213_000099)的资助;财政部"全国会计领军(后备)人才(学术类)培养项目"的支持

摘　　要：搜索引擎的广泛应用促使互联网成为普通投资者获取信息的重要渠道。百度指数体现关键词被搜索的频率,在一定程度上表征着投资者对信息的关注程度。本文以上证180指数样本股为研究对象,以百度指数用户关注度衡量普通投资者关注度,揭示普通投资者关注对股票流动性及股票收益的影响机制。实证结果表明:在控制其他影响因素后,普通投资者高关注度将伴随高市场流动性,注意力会驱动投资者进行交易;对信息的当期关注会对股票收益产生正向影响,但这一现象将在一段时间后发生反转。The extensive use of search engine makes internet be an important channel of accessing information for ordinary investors. Baidu index reflects the frequency of key words that has been searched,it can measure the attention of investors to a certain extent. Accordingly,this paper selects the sample shares of Shanghai 180 Stock Index as research object,makes the Baidu Index value investors' attention,and reveals the influence mechanism between investors' attention and stock liquidity and stock returns. The results show that: After controlling other influencing factors,we find high investors' attention often brings high stock mobility,attention can drive investor make their investment decision; Investors' attention of current period has a positive correlation with stock returns,but the phenomenon will reverse after a period of time.

关 键 词：百度指数 投资者关注 股票流动性 股票收益 上证180指数 

分 类 号：F832.51[经济管理—金融学]