证券信息交流降低了股价同步性吗?——基于互联网社交媒体的证据  

Does the Exchange of the Stock Information Reduce Stock Price Synchronicity?——Evidence from Social Media

作　　者：张昱昭 高征烨 张永杰[3] 熊熊 ZHANG Yuzhao;GAO Zhengye;ZHANG Yongjie;XIONG Xiong(College of Finance,Nanjing University of Finance and Economics,Nanjing 210046;College of Economics,Nanjing University of Finance and Economics,Nanjing 210046;College of Management and Economics,Tianjin University,Tianjin 300072;China Center for Social Computing and Analytics,Tianjin 300072)

机构地区：[1]南京财经大学金融学院,南京210046 [2]南京财经大学经济学院,南京210046 [3]天津大学管理与经济学部,天津300072 [4]中国社会计算研究中心,天津300072

出　　处：《系统科学与数学》2021年第10期2698-2715,共18页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金项目(71771170,U1811462)资助课题。

摘　　要：社交媒体的出现深刻改变了人们的信息交流方式,为投资者提供了新的交流分析股票信息的途径.文章利用了文本分析的方法,度量了基于东方财富网股吧论坛的证券信息交流指标,研究社交媒体上的证券信息交流对股价同步性的影响.研究发现,基于社交媒体的证券信息交流能够显著降低股价同步性,并且在分析师关注度越低、信息不对称程度越高时,证券信息交流降低股价同步性的作用越显著;进一步地,在所有的发帖中,当证券信息交流的帖子占比越高时,引起投资者的关注度越高.以上结果在变更主要变量衡量方式、变换数据频度后依然稳健.文章研究进一步挖掘了社交媒体上所蕴含的信息,拓展了社交媒体文本特征分析的视角,同时,对于正确认识社交媒体在我国证券市场中的积极作用具有重要意义.The emergence of social media has profoundly changed the way people communicate with each other,providing investors with a new way to analyze stock information.The paper uses the method of textual analysis to measure the index of the exchange of stock information in the East Money Guba Stock Fortune,and studies the influence of internet securities information on stock price synchronicity.It is found that securities communication based on social media can significantly reduce the stock price synchronicity.Moreover,the lower attention of analysts and the higher the degree of information asymmetry,the more significantly the stock price synchronicity can be reduced by securities communication.Furthermore,among all the posts,the higher proportion of securities information exchange posts is,the higher the attention of investors will be.The results are still robust after changing the measurement methods of main variables and changing the data frequency.This study further explores the information contained in social media,expands the perspective of textual characteristics analysis on social media,and has important significance for correctly understanding the positive role of social media in China’s securities market.

关 键 词：社交媒体 证券信息交流 文本分析 股价同步性 

分 类 号：F832.51[经济管理—金融学]