投资者互动平台信息交互对上市公司股价泡沫的影响——基于文本深度学习的证据  

Research on the impact of information interaction of investor interaction platform on the foam of listed companies’stock prices:Evidence based on text deep learning

作　　者：尹海员[1] 杨庆松 YIN Haiyuan;YANG Qingsong(International Business School of Shaanxi Normal University,Xi’an 710119,China)

机构地区：[1]陕西师范大学国际商学院,西安710119

出　　处：《系统工程理论与实践》2024年第11期3550-3570,共21页Systems Engineering-Theory & Practice

基　　金：教育部人文社会科学研究规划项目(22XJA790008);陕西省自然科学基础研究项目(2023JCYB622);中央高校基本科研业务专项资金项目(24ZYZD003)。

摘　　要：本文搭建了并行CNN-LSTM深度学习模型,挖掘了沪深两市互动平台上投资者与上市公司管理层的互动文本,从文本内容和语义特征出发量化投资者与管理层的信息交互过程,通过识别投资者问询内容和公司回复质量,分析了其对公司股价泡沫的影响效应.研究发现,投资者对不同内容的提问关注对股价泡沫的影响效应有显著差异,其中对公司股票和财务类信息的提问关注可以抑制股价泡沫频率和强度,而对公司研发生产和销售类信息的提问关注则提升了股价泡沫频率和强度;管理层针对投资者提问的回复明确性越高,越可以显著降低股价泡沫频率,但对股价泡沫强度没有呈现显著影响.进一步看,外部信息环境越差、机构投资者持股比例越低,互动平台信息交互对公司股价泡沫的影响效应越明显,公司信息透明度在这一影响效应中起到了部分中介效应.研究结论有助于从微观视角理解我国投资者互动平台中的信息交互行为对股市运行的影响机理.This paper builds a parallel CNN-LSTM deep learning model,excavates the interac-tive text between investors and the management of listed companies on the interaction platform of Shanghai and Shenzhen Stock Exchanges,quantifies the information interaction process be-tween investors and the management from the text content and semantic characteristics,and analyzes its impact on the company’s stock price foam by identifying the content of investors’inquiries and the quality of company responses.The study found that investors’questioning and attention to different contents had significantly different effects on the stock price foam.Among them,questioning and attention to the company’s stock and financial information could inhibit the frequency and intensity of the stock price foam,while questioning and attention to the company’s research,development,production and sales information increased the frequency and intensity of the stock price foam;The higher the clarity of the management’s response to investors’questions,the more significantly it can reduce the frequency of stock price foam,but it has no significant impact on the strength of stock price foam.Further,the worse the external information environment is and the lower the shareholding ratio of institutional investors is,the more obvious the impact of information interaction on the foam of the company’s share price is.The transparency of company information plays a part of the intermediary effect in this impact.The research findings contribute to a micro perspective understanding of the impact mechanism of information exchange behavior on the operation of the stock market in China’s investor inter-action platforms.

关 键 词：投资者互动平台 信息交互 股价泡沫 深度学习 

分 类 号：F830.91[经济管理—金融学]