移动社交网络与中国家庭股市参与的从众行为  

Mobile social network and herding effect in China’s stock market

作　　者：李江一[1,2] LI Jiangyi(School of Economics,Sichuan University,Chengdu 610065,China;Socialist Political Economy Research Center with Chinese Characteristics,Chengdu Philosophy and Social Science Base,Chengdu 610065,China)

机构地区：[1]四川大学经济学院,成都610065 [2]成都市哲学社会科学基地中国特色社会主义政治经济学研究中心,成都610065

出　　处：《系统工程理论与实践》2023年第9期2535-2555,共21页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金面上项目(72373108);四川大学从“0到1”创新研究项目(2021CXC12)。

摘　　要：移动社交网络已成为现代经济社会中人们获取信息、传播知识的主要媒介之一,但关于其如何影响股票市场的研究还比较缺乏.本文利用中国家庭金融调查(CHFS)在2013、2015和2017年采集的微观面板数据,以社区建立微信群作为准实验,采用双重差分法(DID)和三重差分法(DDD)考察微信群这一移动社交网络在“牛市”和“熊市”中对家庭股市参与产生的差异化影响.研究发现,社区微信群在“牛市”中可使家庭参与股市的概率提高4.44个百分点,而在“熊市”中会使家庭参与股市的概率降低1.06个百分点.进一步的影响机制分析表明,社区微信群主要通过引发投资者“追涨杀跌”(从众效应)来影响股市参与,但尚不具有促进群成员学习(学习效应)而作用于股市参与的机制.研究还发现,股票市场“追涨杀跌”的投资者具有一定的风险承受能力,这可能是2015年股灾并未导致严重的家庭财务危机的原因之一.本文的研究结论表明,中国家庭股市参与存在典型的由移动社交网络驱动的从众行为,且这一行为偏误无法通过市场自我修正,当前需要有效监管移动社交网络中的信息传播,才能推动建立更为有效的股票市场.Mobile social network has become one of the main media for people to obtain information and spread knowledge,but the research on how it affects the stock market is still relatively lacking.Based on the micro-panel data collected by China Household Financial Survey(CHFS)in 2013,2015 and 2017,this paper takes the establishment of WeChat group in community as a quasi-experiment,and uses difference-in-difference(DID)and difference-in-difference-indifference method(DDD)to investigate the differential influence of WeChat group on household stock market participation in“bull market”and“bear market”.We find that WeChat group can increase the probability of stock market participation by 4.44 percentage points in the“bull market”and decrease the probability of stock market participation by 1.06 percentage points in the“bear market”.Further analysis of the mechanism shows that WeChat group mainly influences stock market participation by causing investors to“chase up and kill down”(herd effect),but it has no effect on promoting learning(learning effect).We also find that“chasing up and killing down”investors triggered by WeChat group have certain risk tolerance,which may be one of the reasons why the stock market crash in 2015 did not lead to serious family financial crisis.This paper shows that there are typical herding behaviors driven by mobile social networks in China’s stock market,and this behavior error cannot be corrected by the market itself.It is necessary to effectively supervise the information dissemination of mobile social network in order to promote the establishment of a more effective stock market.

关 键 词：移动社交网络 信息传播 股市参与 学习效应 从众效应 

分 类 号：F830.9[经济管理—金融学]