互动信息质量对股票流动性会产生影响吗——来自交易所互动平台的证据  

Does the Interactive Information Quality Affect Stock Liquidity——Evidence from Exchange Interactive Platforms

作　　者：徐加根[1] 杨杰 夏蜀 Xu Jiagen;Yang Jie;Xia Shu

机构地区：[1]西南财经大学金融学院 [2]云南财经大学中国地方金融研究中心

出　　处：《财经科学》2025年第1期28-43,共16页Finance & Economics

摘　　要：股票流动性是股市有效运行的保障,本文从维护广大投资者信息权益角度,以交易所互动平台数据为基础,基于语意相关性的维度构建互动信息质量指标,探讨互动信息质量对股票流动性的影响。研究发现:互动信息质量的提高促进了股票流动性的提升;对于处于牛市环境、国有属性和非制造业的上市公司,两者之间的这种正向影响则更为显著;机制分析结果表明,互动信息质量通过吸引分析师关注、提高股票凸显性和提升信息扩散程度等方式,有效增强了股票流动性;调节效应结果表明,两者之间的这种正向影响在机构投资者规模较大和媒体关注度较高的股票中更为显著。本文基于中小散户投资者的微观视角,拓展了股市流动性的影响机制研究,为提高市场活跃度、增强投资者保护、提升股市信息效率提供了新的思路。The liquidity of the Chinese stock market is shrinking obviously currently.From the perspective of protecting the informa⁃tion rights and interests of the majority of investors,this paper uses the data of the exchange interactive platform to construct the indi⁃cator of the interactive information quality based on the semantic relevance and explores the relation of interactive information quali⁃ty and stock liquidity and transmission mechanism.We show that:the improvement of interactive information quality helps to pro⁃mote stock liquidity,and the positive effect is more obvious for listed companies which are in bull market environment,state-owned attributes and non-manufacturing industries.We also show that interactive information quality effectively promotes stock liquidity by attracting analysts’attention,improving stock salience and enhancing the degree of information diffusion.The moderating effect results show that this positive effect is more significant in stocks with larger institutional investors and higher media attention.Based on the micro perspective of small and medium-sized retail investors,this paper expands the research on the influence mechanism of stock market liquidity,and provides a new way to improve market activity,strengthen investor protection,and enhance the efficiency of stock market information.

关 键 词：交易所互动平台 互动信息质量 股票流动性 凸显性 信息扩散 

分 类 号：F832.5[经济管理—金融学]