投资者情绪、信息效率与股价波动——来自股票社区用户日内高频发帖文本的证据  

Investor Sentiment,Information Efficiency and Stock Price Volatility:Evidence from Daily High-frequency Post Texts from Stock Communities

作　　者：尹海员[1] YIN Haiyuan(International Business School,Shaanxi Normal University,Xi'an 710062)

机构地区：[1]陕西师范大学国际商学院,西安710062

出　　处：《南京师大学报(社会科学版)》2025年第1期122-134,共13页Journal of Nanjing Normal University(Social Science Edition)

基　　金：教育部人文社会科学基金项目“多源社交网络数据融合的投资者情绪识别与股票高频因子关系研究”(22XJA790008);陕西省自然科学基金项目“基于网络数据挖掘的投资者高频情绪构建及其对股市运行的影响研究”(2023JCYB622);中央高校基本科研业务专项资金重点项目“投资者在线网络关系、情绪演化及其对股市运行的系统性影响”(24ZYZD003)的阶段性成果。

摘　　要：使用朴素贝叶斯法构建了来自股票社区发帖文本的日内高频投资者情绪指数,分析了其对股价波动的影响效应,并讨论了信息效率的中介机制作用以及信息环境、制度环境的调节效应。研究发现,个股日内高频投资者情绪指数对股价波动产生显著的正向影响,乐观情绪的集聚加大了股价日内波动水平。进一步分析发现,股价信息效率在这一影响过程中起到了中介机制效应,投资者情绪会通过降低股价信息效率进而增加股价波动程度。“A+H”交叉上市的样本股票中情绪对股价波动的影响效应更低,公司投资者保护程度的提升则会减缓投资者情绪对股价波动的影响效应,说明更好的信息环境和制度环境有助于提升股价信息效率并减缓投资者情绪对股价波动的影响效应。为从投资者情绪视角透视我国股票市场的日内运行规律以及在线股票社区信息监管的必要性提供了实证证据。This study employs the Naive Bayes method to construct an intraday high-frequency investor sentiment index based on post texts from stock communities.It analyzes the impact of this sentiment index on stock price volatility and examines the mediating role of information efficiency,as well as the moderating effects of the information environment and institutional environment.The findings reveal that the intraday high-frequency investor sentiment index has a significant positive effect on stock price volatility,with the aggregation of optimistic sentiment increasing the level of intraday price fluctuations.Further analysis indicates that stock price information efficiency acts as a mediating mechanism in this process,whereby investor sentiment reduces information efficiency,thereby amplifying stock price volatility.Moderation effect tests show that the impact of sentiment on stock price volatility is weaker in stocks with“A+H”cross-listing and lower equity concentration.Additionally,improvements in the regional marketization level and investor protection mitigate the effect of investor sentiment on stock price volatility,suggesting that a better information environment and institutional environment enhance stock price information efficiency and reduce the influence of investor sentiment on volatility.The research provides empirical evidence for understanding the intraday dynamics of China's stock market from the perspective of investor sentiment and highlights the necessity of regulating information in online stock communities.

关 键 词：投资者情绪 股价波动 信息效率 高频数据 朴素贝叶斯法 

分 类 号：F830.91[经济管理—金融学]