中国股票网络论坛的信息含量分析  

Analysis on the Information Content of China's Internet Stock Message Boards

作　　者：段江娇[1] 刘红忠[2] 曾剑平 

机构地区：[1]上海理工大学管理学院,上海200093 [2]复旦大学经济学院/计算机科学技术学院,上海200433

出　　处：《金融研究》2017年第10期178-192,共15页Journal of Financial Research

基　　金：教育部人文社会科学研究规划基金项目(13YJAZH019);国家自然科学基金项目(61073170)的资助

摘　　要：本文选取东方财富网股吧论坛的个股帖子,使用计算机文本处理技术提取帖子情绪,结合证券分析师对个股的"中性"评级数据,实证研究了我国股票网络论坛的信息含量问题。研究发现:股票当日收益率受当日论坛情绪影响,为显著正相关;股票未来两日收益率与帖子数显著负相关;股票当日的帖子数显著正向影响当日股价波动,而且能影响未来两日的股价波动;当日情绪分歧度越大,未来两日的交易量越大。本研究不仅有助于理解我国股票网络论坛对股票市场的影响机制,而且也为监管层对市场调控和监管提供了一定的决策依据。In this paper,we select stock message board in Guba East-money,and extract sentiment from messages using computer text processing methods. We examine the information content of China ＇s Internet stock message boards in the event of analysts＇ neutral recommendations. We find that contemporaneous stock returns are significantly positively related with sentiment. And the number of messages significantly negatively affects stock returns of the day and next two days. We also find that the number of messages significantly positively affects contemporaneous price volatility,and it also affects the volatility of the day and next two days.Greater disagreement among the posted messages induces more trading volume on the next two days. Hence,this research can not only provide new insight into the mechanism through which stock messages boards affect market,but also provide helpful guidance for stock market regulators.

关 键 词：投资者情绪 情绪分歧度 股票收益率 股价波动性 股票交易量 

分 类 号：F832.51[经济管理—金融学]