论坛发帖与股价行为:情绪宣泄还是信息传递?  

Forum Posting and Stock Price:Emotional Disclosure or Information Transmission?

作　　者：熊艳[1] XIONG Yan

机构地区：[1]华东理工大学商学院

出　　处：《中央财经大学学报》2022年第5期29-45,共17页Journal of Central University of Finance & Economics

基　　金：国家自然科学基金青年项目“社交媒体的情绪波动与股价行为研究”(项目编号:71702056);国家自然科学基金面上项目“IPO市场机制异化的定价后果研究”(项目编号:71672057);国家自然科学基金面上项目“管理层利益诉求与公司策略性信息披露:基于实地调研视角研究”(项目编号:71672059);教育部人文社会科学研究规划基金项目“重大突发卫生公共事件下的企业信息披露行为研究:基于风险感知的视角”(项目编号:21YJA630101)。

摘　　要：本文基于2013—2017年雪球和股吧的论坛发帖数据,从情绪宣泄和信息传递的双重视角考察论坛发帖对股价行为的异质性影响。研究发现:雪球和股吧论坛分别体现为信息传递和情绪宣泄效应,股吧的情绪宣泄角色在我国股票市场处于主导地位。进一步的研究结果表明,熊市中论坛的信息传递效应增强,雪球论坛的作用更加凸显。雪球与股吧论坛之间信息、情绪会互相传导,雪球在其中表现为引领作用;雪球的信息传递效应更持久,而股吧的情绪宣泄效应持续时间更短。论坛发帖情绪在不同板块中对个股收益率的影响大小依次为创业板>中小板>主板。本文用两种论坛的发帖数据对股价的经济后果印证了社交媒体的两种角色,揭示了我国中小投资者的发帖行为及其影响,为投资者决策提供借鉴。Based on the posting data of Snowball and Guba Forum from 2013 to 2017,this paper examines the heterogeneous impact of forum posting on stock price from the perspectives of information transmission and emotional catharsis.It is found that Snowball and Guba forum reflect the effects of information transmission and emotional catharsis respectively,and the emotional catharsis role of Guba is in a dominant position in China’s stock market.Further research results show that the information transmission effect of the forum is enhanced in the bear market,and the role of the snowball forum is more prominent.Information and emotions between snowball and Guba forums will be transmitted to each other,in which snowball plays a leading role.The information transmission effect of snowball is more lasting,while the emotional catharsis effect of Guba lasts shorter.The influence of forum posting emotion on individual stock yield in different sectors is GEM>SME>Main board.This paper uses posting data of two forums to confirm the two roles of social media,reveals the posting behavior and influence of small and medium-sized investors in China,and provides reference for investors’decision-making.

关 键 词：情绪宣泄 信息传递 论坛发帖 股票收益率 成交量 

分 类 号：F832.5[经济管理—金融学] F276.6