“违规”公众号荐股对市场和投资者的影响  

The Impact of the"Illegal"Public Account Recommendation on the Market and Investors

作　　者：王洪娉 王云龙 杨晓光[1,2] WANG Hongping;WANG Yunlong;YANG Xiaoguang(Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190;University of Chinese Academy of Sciences,Beijing 100190)

机构地区：[1]中国科学院数学与系统科学研究院,北京100190 [2]中国科学院大学,北京100190

出　　处：《系统科学与数学》2025年第3期753-768,共16页Journal of Systems Science and Mathematical Sciences

基　　金：国家自然科学基金重大项目(T2293771)资助课题。

摘　　要：文章基于2012-2020年部分“违规”公众号的数据,研究“违规”公众号荐股对中国股票市场和投资者的影响.文章发现“违规”公众号所推荐股票在信息发布日后短期内超额绝对值和成交量显著增加,但长期累计超额收益率显著低于其他股票.实证结果还显示,在推荐的上涨股票中个人投资者的净流入显著增加,而机构投资者的净流入显著减少.进一步地,渠道检验发现“违规”公众号主要是通过制造虚假的私有信息吸引投资者的注意力,并且主要是吸引手机端为主的用户.Based on the data of some"illegal"public accounts from 2012 to 2020,this paper studies the impact of"illegal"public account recommendations on Chinese stock market and investors.The paper finds that the stocks recommended by"illegal"public accounts experience significant increases in absolute excess returns and trading volume after the information is released,but the long-term cumulative excess returns are significantly lower than other stocks.Empirical results also show that a significant increase in net inflows of individual investors and a significant decrease in net inflows of institutional investors among the recommended rising stocks.Furthermore,the channel tests find that"illegal"public accounts mainly attract investors'attention by creating false private information,and mainly attract users who rely on mobile devices.

关 键 词：自媒体 股票市场 私有信息 个人投资者 

分 类 号：F832.5[经济管理—金融学]