投资者日度情绪、订单流不均衡与股票流动性  

Investor Sentiment,Order Flow Imbalance and Stock Liquidity

作　　者：尹海员[1] 吴兴颖 YIN Hai-yuan;WU Xing-ying(International Business School,Shaanxi Normal University,Xian 710119,China)

机构地区：[1]陕西师范大学国际商学院,陕西西安710119

出　　处：《中国管理科学》2023年第5期60-70,共11页Chinese Journal of Management Science

基　　金：教育部人文社会科学基金资助项目(22XJA790008);陕西省自然科学基金资助项目(2023JCYB622)。

摘　　要：本文挖掘东方财富网的股票论坛发帖文本,通过自然语言处理对其进行情感分析,构建了投资者日度情绪指标并探讨其对股票流动性的影响,还分析了订单流不均衡性在其中起到的中介作用。研究发现,投资者情绪对股票流动性具有显著的正向冲击效应,乐观情绪能显著增加股票流动性,而且流动性对投资者情绪的敏感度会随着卖空限制的降低而加强,股票交易订单流的不均衡性在这一冲击过程中起到了部分中介作用。这种影响效应在不同截面特征的股票中存在显著差异,其中高账面市值比和公司规模更大的个股流动性对情绪波动的敏感度较高,而风险溢价较高的个股流动性对情绪的灵敏度较低。研究结论有助于从更高频率视角深入理解投资者情绪对股票流动性的影响机理。With the development of Web2.0,social media has gradually evolved into an online expression carrier.Different subjects,for their interests,using this channel to create and share content.Individual investors are more willing to express their true feelings through online platforms.This information has significant explanatory power to the stock market,but will not be reflected in the market data.In the process of continuous aggregation and fermentation,it intensifies the sentimental tendency of investors,fundamentally changes the information structure of the stock market.The interaction between investor sentiment and stock liquidity is taken as the topic,the post text of the stock forum on the Internet is excavated,the index of daily investor sentiment is constructed through sentiment analysis algorithm,and its impact on stock liquidity is studied,also intermediary role of order flow imbalance.it is that:(1)the investor sentiment based on the stock forum post has a positive impact on the stock liquidity,optimistic investor sentiment can improve the stock liquidity,and the imbalance of order flow is the intermediary path of investor sentiment affecting stock liquidity.But this mediating effect is not complete,investor sentiment can also directly affect stock liquidity.(2)The effect of investor sentiment on stock liquidity varies with the cross-sectional characteristics of stocks.Among them,stocks with higher book-to-market ratios and company size are more susceptible to investor sentiment,while stocks with higher risk premiums are less sensitive to investor sentiment.(3)The sensitivity of stock liquidity to sentiment will increase with the decrease of the short-selling limit.As a pivotal indicator of the stock market,the importance of stock liquidity to the securities market is proved by many pieces of research,and its influencing factors are also the focus of the capital market.The conclusion of this paper not only has important value for the perspective of the operation of Chinese stock market dominated by individu

关 键 词：投资者情绪 股票流动性 订单流不均衡 中介效应 

分 类 号：F830.91[经济管理—金融学]