概念股推出提高了中国股票市场的定价效率吗?——以新冠肺炎概念股为例  

Has the Launch of Concept Stocks Improved the Pricing Efficiency of the Chinese Stock Market?-Taking COVID-19 Concept Stocks for Example

作　　者：张永杰[1] 赵亚鑫 高雅[3] 熊熊[2,1] ZHANG Yong-jie;ZHAO Ya-xin;GAO Ya;XIONG Xiong(College of Management and Economics,Tianjin University,Tianjin 300072,China;Laboratory of Computation and Analytics of Complex Management Systems,Tianjin University,Tianjin 300072,China;School of Economics and Management,Dalian University of Technology,Dalian 116024,China)

机构地区：[1]天津大学管理与经济学部,天津300072 [2]天津大学复杂管理系统实验室,天津300072 [3]大连理工大学经济管理学院,辽宁大连116024

出　　处：《系统工程》2023年第2期109-124,共16页Systems Engineering

基　　金：国家自然科学基金资助项目(72001033,72141304,71790594,71901160);辽宁省社会科学规划基金资助项目(L21CJY006);国家社科基金重大项目(18ZDA095)。

摘　　要：本文利用2011-2020年中国A股市场的数据,基于倾向得分匹配法和双重差分模型,研究概念股的提出对中国股票市场定价效率的影响。研究发现,新冠肺炎概念股的提出显著降低了概念股标的股票的定价效率。进一步发现,股吧发帖量的增加会显著降低市场定价效率,投资者关注度不同导致噪声交易者的参与程度不同,最终导致不同板块和不同类别概念股标的股票定价效率的异质性。本文的研究为资本市场从股吧噪音信息传递的角度降低定价效率提供了理论基础,为及时锁定宏观经济形势衍生出的概念股并进行资源配置的调整具有借鉴意义。This paper uses the data of China's A-share market from 2011 to 2020,based on the propensity score matching method and the double difference model,to study the impact of concept stocks on market pricing efficiency.The study has found that the proposal of the new crown pneumonia concept stock can significantly reduce the pricing efficiency of the underlying stocks of the concept stock.It is further found that there is a significant negative correlation between the number of posts posted by stock bars and pricing efficiency.The different levels of investor attention lead to different levels of participation of noise traders,which ultimately leads to the heterogeneity of the pricing efficiency of stocks in different sectors and different types of concept stocks.The research in this paper provides a theoretical basis for the capital market to reduce pricing efficiency from the perspective of stock bar noise information transmission,and has reference significance for timely locking in conceptual stocks derived from the macroeconomic situation and adjusting resource allocation.

关 键 词：新冠肺炎 概念股 股吧发帖量 噪音交易 定价效率 

分 类 号：F832[经济管理—金融学]