个人投资者有限关注对创业板市场行为影响的实证研究  

Empirical Study on the Effect of Individual Investors' Limited Attention on the Behavior of GEM Market

作　　者：唐平[1] 彭筱[1] 

机构地区：[1]重庆工商大学财政金融学院,重庆400067

出　　处：《重庆工商大学学报（社会科学版）》2017年第5期18-25,共8页Journal of Chongqing Technology and Business University：Social Science Edition

摘　　要：个人投资者的注意力是有限的,由于时间和精力的约束,投资者倾向于购买引起自己关注的股票。本文采用和讯网络关注度的每日数据来衡量股票受关注的情况,利用个体固定效应模型实证检验我国投资者有限关注对创业板市场流动性的影响。实证结果发现在控制公司规模、市场组合收益率和市净率以后,投资者有限关注对创业板市场指标具有显著正向影响。同时,我们还检验了有限关注下网络关注度对股票收益的影响,结果发现网络关注度对股票当期收益率有正向的压力,但这种压力会在短期内反转。Because individual investor’s attention,time and energy are limited,investors tend to buy the stattention. This paper measures the status of the attention paid to stocks on the basis of the daily data of the attention-level from hexun. com,and makes an empirical test of the impact of China investors, limited attention on the market liquidity of Growth Enterprises Mar-ket based on the individual fixed-effect model. The empirical results indicate that after controlling the size of the enterprise,the market portfolio return and the market rate,investors, limited attention had a significant positive impact on the GEM index. Meanwhile,this paper also tests the impact of net^vork attention-level on stock returns under a limited attention-level, the results indicate that the net-work attention-level has a positive impact on the current return of the stock,but this impact will be reversed in a short period.

关 键 词：个人投资者 有限关注 创业板 股票收益 和讯网 

分 类 号：F832.48[经济管理—金融学]