异质性情绪影响股市羊群效应吗?——来自互联网股票社区的证据  

Does Heterogeneous Sentiment Influence on Stock Market Herding:Evidence from Internet Stock Community

作　　者：郑瑶[1,2] 董大勇[1] 朱宏泉[1] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]西南交通大学峨眉校区人文系,四川峨眉614202

出　　处：《系统工程》2016年第9期9-14,共6页Systems Engineering

基　　金：国家自然科学基金资助项目(71271174;71171170;71273040);教育部高等学校博士学科点专项科研基金资助课题(20120184110021)

摘　　要：个体投资者情绪具有异质性。本文利用2010年1月7日至2013年8月30日东方财富网股吧发帖文本,通过情绪关键词统计测度投资者总体情绪强度、投资者总体情绪倾向和投资者情绪异质性程度。构建异质性情绪影响股市羊群效应的GARCH模型,实证结果如下:(1)投资者情绪强度影响股市羊群效应,情绪越强烈,股市羊群效应越大;(2)相对于悲观情绪倾向,乐观情绪倾向导致的股市羊群效应相应更弱;(3)投资者个体间情绪的异质性将减弱股市羊群效应。结果表明,投资者情绪对股市羊群效应具有多重影响,特别是投资者间情绪异质性对股市羊群效应具有抑制作用,这对改善市场效率具有积极意义。The investor sentiment of different individuals has heterogeneity. This paper uses the posting text data of Shanghai composite index bar in the stock bar of Eastmoney.com from Jan. 7th, 2010 to Aug. 30th, 2013, and through mood keyword statistics to build variables of the overall sentiment strength and tendency of the investor, and the mood heterogeneity degree of the investor. It then establishes GARCH model of stock market＇ s herding influenced by the heterogeneity sentiment. The main conclusions drawn are as follows. Firstly, the overall sentiment of the investor strengthens stock market＇s herding. The more intense the sentiment gets, the greater the stock market＇s herding will become. Secondly, the overall sentiment tendency of the investor has impact on the stock market＇s herding.With respect to pessimistic tendency, the stock market＇s herding is weaker that under the optimistic sentiment. Thirdly, the heterogeneity of the investor＇s sentiment will weaken the stock market＇s herding. The empirical research indicates that, investor sentiment has multiple effects on the stock market herding. More importantly, the sentiment heterogeneity between the investors has an inhibiting effect on the stock market＇s herding, which plays a significant role in improving the market efficiency.

关 键 词：羊群行为 互联网 文本信息 投资者情绪 异质性 

分 类 号：F830[经济管理—金融学]