投资者意见趋同对股票市场的影响——基于收益和风险的双重视角  

The Influence of Investors'Opinion Convergence on Stock Market——Based on the Dual Perspective of Return and Risk

作　　者：倪文辉 张普[2] Ni Wenhui;Zhang Pu(School of Mechanical Engineering and Rail Transit,Changzhou University,Changzhou 213164,Jiangsu,China;Wu Jinglian Economic School,Changzhou University,Changzhou 213164,Jiangsu,China)

机构地区：[1]常州大学机械与轨道交通学院,江苏常州213164 [2]常州大学吴敬琏经济学院,江苏常州213164

出　　处：《金融发展研究》2023年第4期18-28,共11页Journal Of Financial Development Research

基　　金：国家社会科学基金一般项目“双向开放视角下我国资本市场韧性的形成机制与提升路径研究”(21BJY007);江苏高校哲学社会科学研究重大项目“危机视角下基于制度约束与文化属性的资本市场价格发现机制研究”(2020SJZDA041)。

摘　　要：互联网技术的发展和自媒体产业的爆发,加剧了投资者形成一致性预期的可能性。基于此,利用网络论坛发帖数据构建投资者意见趋同指数,从收益和风险两个维度考察投资者意见趋同对股票市场的影响。研究表明,投资者意见趋同对股票收益有显著的正向影响,且该影响具有持续性,其作用机制在于投资者意见趋同会催生买入拥挤交易行为,抬升资产价格。具体来看,看涨意见趋同会带来持续的正向收益,而看跌意见趋同仅会带来短期的负向冲击;与此同时,投资者意见趋同还会导致交易量缩减、股价跳跃以及羊群行为等潜在市场风险的出现。进一步分析发现,放开卖空限制能够让看跌投资者的意见得以表达,进而有效降低投资者意见趋同对股票市场的影响。研究结论为政府完善资本市场制度、逐步放开卖空限制提供了现实依据。The development of Internet technology and the explosion of the self-media industry have intensified the possibility of investors forming convergent expectations.Based on this,we construct an investor opinion convergence index using online forum posting data to examine the impact of investor opinion convergence on the stock market from two dimensions:return and risk.The study shows that investor opinion convergence has a significant positive effect on stock returns and the effect is persistent.The mechanism of effect is that investor opinion convergence generates buying crowded trading behavior and raises asset prices.Specifically,bullish convergence leads to sustained positive returns,while bearish convergence leads to only short-term negative shocks;at the same time,investor convergence leads to potential market risks such as reduced trading volume,stock price jumps,and herding behavior.Further analysis reveals that liberalizing short selling restrictions can allow bearish investors'opinions to be expressed,thus effectively reducing the impact of convergence of investors'opinions on the stock market.The findings provide a practical basis for the government to improve the capital market system and gradually liberalize short selling restrictions.

关 键 词：意见趋同 股票收益 市场风险 卖空限制 

分 类 号：F830.91[经济管理—金融学]