本文關(guān)鍵詞： 投資者關(guān)注 A股市場 IPO 行為金融 Google 新聞報道　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：在傳統(tǒng)的金融學(xué)研究中,投資者關(guān)注是持續(xù)集中的,能夠消化各類信息并將其反映到資產(chǎn)的價格中去。但實際情況并非如此,投資者的關(guān)注是有限的,有主動關(guān)注和被動關(guān)注之分,因此并不能關(guān)注到所有的公開與非公開市場信息。學(xué)界認(rèn)為,投資者關(guān)注在證券價格的形成過程中,產(chǎn)生了較大的影響和推動作用。在中國的資本市場上,大量存在著利用投資者關(guān)注的盲目而進(jìn)行套利的炒作行為。為了更好的衡量投資者關(guān)注,理解投資者關(guān)注對于股票市場的影響,本文引入了新的代理變量——Google搜索量指數(shù),作為投資者的主動關(guān)注；同時,利用爬蟲程序抓取了傳統(tǒng)新聞媒體的數(shù)據(jù),利用新聞報道量指數(shù)作為投資者的被動關(guān)注代理變量,對投資者關(guān)注與股票市場特定收益之間的關(guān)系進(jìn)行了研究。 首先,對搜索量指數(shù)、新聞報道量指數(shù)和其他投資者關(guān)注的代理變量之間的關(guān)系進(jìn)行分析；接著,基于A股市場樣本和2004年6月之后IPO公司樣本數(shù)據(jù),對投資者關(guān)注與股票市場價格的關(guān)系,尤其是投資者關(guān)注對于股票價格的影響進(jìn)行了研究。研究結(jié)果表明：投資者的主動關(guān)注和被動關(guān)注的相關(guān)性為負(fù),并且存在“線下”與“線上”之間的轉(zhuǎn)移路徑；投資者關(guān)注對于股票價格的確有著較大的影響作用,但主動關(guān)注與被動關(guān)注對于股票價格的影響存在著不同；IPO前一個月,投資者主動關(guān)注更有預(yù)測性,而IPO前二至三周之內(nèi),投資者被動關(guān)注更有預(yù)測性。 本文研究結(jié)果可以供散戶投資者更好的理解中國的股票市場,在市場狂熱時能夠冷靜思考；同時,也能夠為相關(guān)管理決策部門提供參考,從而規(guī)范我國上市公司信息披露行為,引導(dǎo)中國資本市場走向成熟與規(guī)范。
[Abstract]:In the traditional financial research, investors' attention is continuously concentrated, which can digest all kinds of information and reflect it to the price of assets. However, this is not the case, and investors' attention is limited. There are active and passive concerns, so we can not pay attention to all the open and private market information. Scholars believe that investors pay attention to the formation of securities prices in the process. In China's capital market, a large number of investors pay attention to the blind and carry out arbitrage behavior. In order to better measure investor concern. To understand the impact of investor concern on the stock market, this paper introduces a new proxy variable, Google search quantity Index, as the active concern of investors; At the same time, the crawler program is used to capture the data of traditional news media, and the index of news coverage is used as the proxy variable of investors' passive concern. The relationship between investor concern and specific return in stock market is studied. Firstly, the relationship between search volume index, news coverage index and other agent variables concerned by investors is analyzed. Then, based on the A-share market samples and IPO company sample data after June 2004, investors are concerned about the relationship between stock market prices. In particular, the impact of investor concern on stock prices is studied. The results show that the correlation between active and passive concerns of investors is negative. And there is a transfer path between "offline" and "online"; Investors' attention does have great influence on stock price, but the influence of active concern and passive concern on stock price is different. The month before the IPO, investors were more proactive in focusing on predictability, while in the first two to three weeks of IPO, investors were passively focused on more predictability. The results of this paper can provide retail investors with a better understanding of China's stock market and be able to think calmly when the market is fanatical. At the same time, it can also provide reference for the relevant management decision-making departments, so as to standardize the information disclosure behavior of listed companies in China, and guide the Chinese capital market to mature and standardize.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F275

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本文編號：1481717