股市政策对股票市场的影响——基于投资者社会互动的视角  

The impact of stock market policies on stock market:From the perspective of investor social interaction

作　　者：杨晓兰[1,3] 王伟超 高媚[2] YANG Xiao-lan;WANG Wei-chao;GAO Mei(School of Business and Management,Shanghai International Studies University,Shanghai 200083,China;School of Economics,Zhejiang University,Hangzhou 310027,China;Academy of Financial Research,Zhejiang University,Hangzhou 310027,China)

机构地区：[1]上海外国语大学国际工商管理学院,上海200083 [2]浙江大学经济学院,杭州310027 [3]浙江大学金融研究院,杭州310027

出　　处：《管理科学学报》2020年第1期15-32,共18页Journal of Management Sciences in China

基　　金：浙江省之江青年计划研究项目(16ZJQN032YB);国家自然科学基金资助项目(71873089).

摘　　要：本文将影响股市的政策分为五类,检验股市的政策效应;并以新浪财经博客为投资者之间社会互动的媒介,利用文本挖掘技术和社会网络研究方法,构建反映投资者之间社会互动程度、情绪属性以及社会网络中心程度的变量,探讨社会互动对股市政策效应的影响.实证研究表明,舆论导向政策对股市收益率存在显著的正向影响;证券供给需求性政策、货币政策显著提高股市波动率,市场创新与市场交易制度显著降低市场波动率.同时,投资者对专业性政策的解读显著依赖于社会互动,社会互动会放大货币政策对股市收益率的正向影响,加剧证券供给需求性政策对股市波动的影响,平缓市场创新与市场交易制度对股市波动的影响,而不影响舆论导向政策对股市产生的效应.This papertests the policy effect in the stock market and the impact of social interaction on policy effect.The stock market policy is divided into five categories.Based on Sina Finance and Economics Blog,variables about social interaction,investor sentiment,and social network centrality are built by making use of the technology of text mining and social network.Empirical studies show that public opinion-oriented policies have a significant positive impact on stock market returns,that securities supply-demand policies and monetary policies significantly increase stock market volatility,and that market innovation and market trading policies significantly reduce market volatility.Furthermore,as investors'inteq^retation of the professional policy is significantly dependent on social interaction,which can magnify the impact of securities supply-demand policy and monetary policy on the stock market and alleviate the impact of market innovation and market trading policy on the stock market.However,the effect of public opinion policy on the stock market is not influenced by social interaction.

关 键 词：政策 社交网络 社会互动 股票市场 文本挖掘 

分 类 号：F830.91[经济管理—金融学]