中国股票市场泛谐音效应研究  

The Homophonic Effect in Chinese Stock Market

作　　者：杜威望 刘雅芳 Du Weiwang;Liu Yafang

机构地区：[1]中共福建省委党校、福建行政学院闽台研究院 [2]福建社会科学院经济研究所

出　　处：《投资研究》2019年第9期108-124,共17页Review of Investment Studies

摘　　要：通过对我国股票市场的金融"异象"进行梳理,提出股票泛谐音效应,基于传播学和心理学的相关理论进行理论阐释并提出4个假设。利用相关性分析和断点回归设定实证检验结果表明:(1)热门事件发生时,该热门事件与投资者联想到的股票名称具有较高的相关性;(2)投资者对相关股票的关注增加与该股票的交易量增加具有高相关性;(3)利好的股票泛谐音效应导致异常收益率上涨大约3.39%到3.42%;(4)但冲击只能影响事发日当天的股价。Through reviewing the existence of Chinese stock market financial"anomalies", this paper puts forward the concept of stock homophonic effect. Then, this paper uses the theories of communication and psychology to explain the theoretical of stock homophonic effect, and puts forward four hypotheses. Finally, this paper uses the correlation analysis and regression discontinuity design to test the above four hypotheses. The results show that:(1) when the hot event occurs, it has a high correlation with the stock name associated with the investor;(2) the increase in investors’ interest in related stocks is highly correlated with the increase in the volume of trading in the stock;(3) the homophonic effect of favorable stock can cause positive effect on the stock price, leading to stock’s abnormal return rise about 3.39% to 3.42%;(4) the impact of stock homophonic effect on the stock price can only influence the stock price on the day of the event occurs.

关 键 词：泛谐音效应 股价冲击 行为金融学 断点回归设定(RDD) 

分 类 号：F832.51[经济管理—金融学]