信息传播效率、投资者关注与动量效应研究  

Research on Information Propagation Efficiency,Investor Attention and Momentum Effect

作　　者：朱敏[1] 卢逸尘 石季辉 ZHU Min;LU Yichen;SHI Jihui(Huzhou University,Huzhou 313000,China)

机构地区：[1]湖州师范学院,浙江湖州313000

出　　处：《山西经济管理干部学院学报》2022年第2期37-44,共8页Journal of Shanxi Institute of Economic Management

摘　　要：近年来,大量研究探讨了股票投资者的决策行为,但是从信息传播效率角度展开的研究尚不充分。文章在HS模型的基础上,以2010—2019年中国A股沪深300指数300支成份股为研究样本,从信息传播效率的角度采用格兰杰检验与相关性分析等方法分析投资者决策行为。分析结果表明:信息传播效率对投资者关注度有一定影响,二者具有相关性;信息传播效率与股价波动幅度、股价波动频率正相关;投资者关注度越高,关注度与股价动量之间的因果关系越强。In recent years,a large number of studies have discussed the decision-making behavior of stock investors,but the research from the perspective of information propagation efficiency is not enough.Based on the HS model,taking 300 constituent stocks of China′s A-share CSI 300 index from 2010 to 2019 as the research sample,this paper uses Granger test and correlation analysis to analyze investors′decision-making behavior from the perspective of information propagation efficiency.The results show that:information propagation efficiency has a certain impact on investors′attention,and the two are related;the information propagation efficiency is positively correlated with the fluctuation range and frequency of stock price;the higher the attention of investors is,the stronger the causal relationship between attention and stock price momentum.

关 键 词：信息传播效率 投资者关注 动量效应 

分 类 号：F832.5[经济管理—金融学]