本文選題：股票論壇信息 + 投資者情緒��； 參考：《天津大學(xué)》2012年碩士論文

【摘要】：隨著互聯(lián)網(wǎng)的迅速發(fā)展，尤其是Web2.0時代的到來，網(wǎng)絡(luò)逐漸成為投資者獲取信息和股票交易的重要來源。從上世紀(jì)90年代以來，西方國家的股票論壇、財經(jīng)博客等就受到證券市場從業(yè)者、政策制定者和研究者的關(guān)注。從目前已有文獻(xiàn)來看，網(wǎng)絡(luò)信息發(fā)布行為對股票市場具有一定的影響力。另外，由于IPO上市首日的異常表現(xiàn)也是金融學(xué)界研究的一個熱點，因此，本文借助我國網(wǎng)絡(luò)論壇研究我國網(wǎng)上投資者情緒與IPO上市后短期異�，F(xiàn)象之間的關(guān)系，為揭示IPO異象的形成機理和監(jiān)管部門加強網(wǎng)絡(luò)監(jiān)管提供實證依據(jù)，同時也對網(wǎng)上交易者進(jìn)行投資決策具有重要的指導(dǎo)意義。 首先，本文簡單介紹了我國新股市場的特點，隨后從不同的角度闡述了國內(nèi)外網(wǎng)絡(luò)信息與股票市場的研究現(xiàn)狀，通過對國內(nèi)外文獻(xiàn)的概括發(fā)現(xiàn)，盡管學(xué)者們對網(wǎng)絡(luò)信息與股票市場的關(guān)系沒有給出一致的結(jié)論，但他們均認(rèn)可“網(wǎng)絡(luò)信息不僅僅是噪音”這一觀點，這些結(jié)論對本研究的開展具有重要的指導(dǎo)意義。第三部分首先介紹了本研究的理論基礎(chǔ)和方法依據(jù)，隨后運用文本挖掘技術(shù)獲取初始研究數(shù)據(jù)，并詳細(xì)描述了樣本數(shù)據(jù)預(yù)處理的一個重要方法——樸素貝葉斯分類器。然后引入行為金融學(xué)的投資者情緒理論及其代理變量的研究現(xiàn)狀，最后通過構(gòu)建投資者偏好、投資者樂觀情緒以及投資者意見分歧程度度量指標(biāo)對投資者情緒與IPO之間的關(guān)系進(jìn)行實證研究，分析我國IPO市場與互聯(lián)網(wǎng)信息的內(nèi)在聯(lián)系。 本文收集2012年6月到2012年9月期間新上市的所有A股數(shù)據(jù)，基于行為金融學(xué)的角度對網(wǎng)絡(luò)信息發(fā)布行為所反映的投資者情緒與IPO市場進(jìn)行研究，結(jié)果發(fā)現(xiàn)我國投資者在互聯(lián)網(wǎng)上發(fā)布股票信息時并未表現(xiàn)出對個別公司的偏好現(xiàn)象，股票論壇信息體現(xiàn)的投資者情緒對IPO收益影響不大，但與IPO上市首日交易量顯著相關(guān)，且投資者絕對樂觀情緒指數(shù)越高、意見分歧程度越大，IPO首日交易量越大，對IPO上市2日后交易量無明顯作用。另外，，作者還比較了網(wǎng)絡(luò)信息對不同板塊上市新股的影響力，發(fā)現(xiàn)創(chuàng)業(yè)板與中小板的IPO受投資者信息發(fā)布行為的影響作用無明顯差別。最后，根據(jù)研究設(shè)計和實證結(jié)果，總結(jié)了本研究的不足，并提出下一步研究方向。
[Abstract]:With the rapid development of the Internet, especially the arrival of the Web2.0 era, the network has gradually become an important source for investors to obtain information and stock trading. Since the 1990s, stock forums and finance blogs in western countries have attracted the attention of stock market practitioners, policy makers and researchers. From the current literature, the behavior of network information release has a certain influence on the stock market. In addition, because the abnormal performance of IPO on the first day of listing is also a hot topic in financial circles, this paper studies the relationship between investor sentiment on the Internet and the short-term abnormal phenomenon after IPO listing in China with the help of China's Internet Forum. In order to reveal the formation mechanism of IPO anomalies and strengthen the supervision of network supervision to provide empirical basis, it also has important guiding significance for online traders to make investment decisions. First of all, this paper briefly introduces the characteristics of the new stock market in China, and then expounds the research status of the domestic and foreign network information and stock market from different angles, through the summary of the domestic and foreign literature findings. Although scholars have not come to a consistent conclusion on the relationship between network information and stock market, they all agree that "network information is not only noise", these conclusions have important guiding significance for the development of this study. In the third part, the theoretical basis and method basis of this study are introduced firstly, then the initial research data are obtained by text mining technology, and an important method of sample data preprocessing, naive Bayes classifier, is described in detail. Then introduce the behavioral finance investor sentiment theory and its agent variables research status, finally through the construction of investor preference, This paper makes an empirical study on the relationship between investor sentiment and IPO and analyzes the internal relationship between IPO market and Internet information in China. From June 2012 to September 2012, this paper collected all the new A share data from June 2012 to September 2012, and based on behavioral finance, we studied the investor sentiment and IPO market reflected by the behavior of online information publishing. The results show that Chinese investors do not show a preference for individual companies when they publish stock information on the Internet. The investor sentiment reflected in stock forums has little effect on IPO returns, but it is significantly related to the trading volume on the first day of IPO listing. Moreover, the higher the index of absolute optimism, the greater the degree of divergence of opinions and the greater the trading volume on the first day of IPO, which has no obvious effect on the trading volume of IPO two years after listing. In addition, the author compares the influence of network information on the new shares listed in different sectors, and finds that there is no significant difference between the IPO of gem and the small and medium-sized board by the behavior of investor information release. Finally, according to the research design and empirical results, summarized the shortcomings of this study, and proposed the next research direction.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F831.51

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