金融社交媒体信息、股票收益率与资本市场异象  

Financial social media information,stock returns,and anomalies

作　　者：王淏淼 史永东[1,2,3] WANG Haomiao;SHI Yongdong(School of Fintech,Dongbei University of Finance and Economics,Dalian 116025,China;School of Finance,Dongbei University of Finance and Economics,Dalian 116025,China;Research Center of Applied Finance,Dongbei University of Finance and Economics,Dalian 116025,China)

机构地区：[1]东北财经大学金融科技学院,大连116025 [2]东北财经大学金融学院,大连116025 [3]东北财经大学应用金融研究中心,大连116025

出　　处：《系统工程理论与实践》2023年第6期1597-1609,共13页Systems Engineering-Theory & Practice

基　　金：国家社会科学基金重大项目(19ZDA094);国家自然科学基金(71971046,72172029,72272028)。

摘　　要：本文首次构建金融社交媒体信息指标(FI),研究了金融社交媒体信息对股票横截面收益率的预测力以及对资本市场异象的影响.研究发现:金融社交媒体信息与股票未来横截面收益率间存在明显的单调递增特征,并且在控制多种风险或者情绪定价因子后上述特征仍然稳健.金融社交媒体信息对股票收益率的预测力体现了信息经由金融社交平台进入股价的过程.金融社交媒体信息将捕捉到的股票基本面信息注入市场,然而受到市场套利成本的阻碍,信息进入股价的过程被拉长,导致金融社交媒体信息对股票收益率的预测力呈现持久性.本文的实证证据进一步发现,金融社交媒体信息提供的股价信息有助于投资者识别并消除妨碍市场合理运行的市场异象,从而有效提升资本市场运行效率.本文研究结论对于进一步推动互联网建设、加速互联网与资本市场融合建设、促进资本市场高质量发展具有重要的理论意义和现实价值.This paper constructs the financial social media information index(FI) for the first time and investigates the predictive power of financial social media information on cross-sectional stock returns and its impact on market anomalies.The study finds that there is a significant monotonic increasing relationship between financial social media information and future crosssectional stock returns,and this relationship remains robust after controlling for various risk or sentiment pricing factors.The predictive power of financial social media information on stock returns reflects the process of information entering stock prices through financial social platforms.Financial social media information injects fundamental stock information into the market.However,due to the hindrance of market arbitrage costs,the process of information entering stock prices is prolonged,resulting in the persistence of the predictive power of financial social media information on stock returns.Empirical evidence from this paper further finds that the stock price information provided by financial social media can help investors identify and eliminate market anomalies that hinder the reasonable operation of the market,thus effectively improving the efficiency of the capital market.The conclusions of this study have important theoretical and practical significance for further promoting Internet construction,accelerating the integration of the Internet and the capital market,and promoting the high-quality development of the capital market.

关 键 词：金融社交媒体信息 资本市场效率 市场异象 资本市场高质量发展 

分 类 号：F830.2[经济管理—金融学]