互联网异质性财经新闻对股市的影响——来自中国互联网数据与上市公司的证据  

The impact of internet heterogeneous financial and economic news on stock market:evidence from Chinese internet data and listed companies

作　　者：刘海飞[1] 许金涛[1] 

机构地区：[1]南京大学工程管理学院,江苏南京210093

出　　处：《产业经济研究》2017年第1期76-88,共13页Industrial Economics Research

基　　金：国家自然科学基金研究项目(71101068);江苏省自然科学基金面上项目(BK20161398);江苏省金融工程重点实验室项目(NSK2015-09)

摘　　要：结合文本挖掘技术和事件研究方法,分析互联网异质性财经新闻对中国股票短期异常收益的影响。研究发现:五种互联网异质性新闻均会引起股票短期的异常收益,其中,政策扶持类、兼收并购类、再融资类和盈利能力类新闻能够对公司股票产生正的异常收益,而违规处罚类新闻能够对公司股票产生负的异常收益。研究结论为监管机构、财经新闻媒体工作人员、上市公司、各类投资者在信息辨析与传播、交易、监管等方面提供了启示与证据。This paper analyzes the impact of internet heterogeneous financial and economic news on short-term abnormal yield of Chinese stock by text mining technology and event research methodology. It is found that five kinds of internet heterogeneity news can cause short-term abnormal yield of stock. Among them, the policy support, mergers and acquisitions, refinancing and profitability news can produce positive abnormal yield to the company＇s stock, and the violation punishment news can produce negative abnormal yield. The conclusion of this paper will provide some important inspiration and evidence for regulators, financial news media staffs, listed companies and investors in the aspects of analysis, communication, transaction and regulation of information.

关 键 词：互联网新闻 异质性 文本挖掘 事件研究 异常收益率 媒体关注 

分 类 号：F830[经济管理—金融学]