社会互动对股票市场的影响——基于新浪财经博客的实证分析  

The Impact of Social Interaction upon Equity Market:the Empiricalanalysis Based upon Blog Postings

作　　者：杨晓兰[1] 高媚[1] 朱淋[1] 

机构地区：[1]浙江大学经济学院,浙江杭州310027

出　　处：《证券市场导报》2016年第7期50-58,共9页Securities Market Herald

基　　金：国家自科基金青年项目(项目编号:71303210)

摘　　要：本文以2013年12月～2015年11月新浪财经博客共14万多条博文为研究对象，利用计算机文本挖掘技术定量描述投资者基于博客进行社会互动的程度及其情绪倾向，检验社会互动对股票市场的影响。实证研究结果表明博主的互动诉求、博主的影响力、互动覆盖范围和互动程度对当期沪深300指数的收益率和成分股成交量有显著正向影响。以2015年6月股指最高点为分界线将样本分为上涨期和下跌期，我们发现社会互动对收益率的影响在指数处于下跌期时程度更大。除了沪深300指数之外，社会互动对上证综合指数和创业板指数的收益率都存在显著正向影响。此外，社会互动各指标对波动率均没有显著影响。In this paper, we study a total of more than 140,000 blogs posted on the web of Sina Finance and Economics from December 2013 to November 2015. The method of text mining is adopted to measure the degree and the sentimentof social interaction based on blogs. We investigate the impact of social interaction on the stock market. The empirical results show that the measures of social interaction have significant positive impacts on the return and trading volume of CSI 300. Dividing the sample period into bullish period and bearish period by June 2015 when the index reaching the highest point, we find that social interaction has a greater impact on return in bearish period than in bullish period. In addition to the CSI 300, the impacts of social interaction on the returns of SHCI and GEM are robust. Besides, there is no significant effect of social interaction on the stock volatility.

关 键 词：社会互动 财经博客 股票市场 文本挖掘 

分 类 号：F830.9[经济管理—金融学]