本文關(guān)鍵詞：信息傳播渠道差異與股票定價(jià)研究　出處：《天津大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 信息傳播渠道 投資者關(guān)注 股票市場(chǎng) 百度指數(shù) 微博指數(shù)

【摘要】：信息在證券市場(chǎng)的價(jià)格發(fā)現(xiàn)上起著決定性作用,一定程度上可以稱(chēng)作金融的本質(zhì)。在社會(huì)媒體迅速發(fā)展、大數(shù)據(jù)時(shí)代背景下,證券市場(chǎng)上的個(gè)體在分析和決策時(shí)依據(jù)的信息來(lái)源與形式變得多元化,也伴隨著不同于以往的搜尋方式和利用信息的行為。信息通過(guò)不同的傳播渠道作用于證券價(jià)格,探討不同信息傳播渠道本身對(duì)證券價(jià)格的影響,對(duì)于研究信息對(duì)資產(chǎn)定價(jià)影響方面意義重大。本文從理論和實(shí)證兩個(gè)角度研究了傳統(tǒng)類(lèi)和社會(huì)媒體類(lèi)信息傳播渠道對(duì)我國(guó)股票市場(chǎng)價(jià)格的影響。理論方面,將資產(chǎn)定價(jià)理論、金融理論中信息相關(guān)理論和信息傳播動(dòng)力學(xué)理論相結(jié)合,給出了信息傳播渠道的定義,即具有一定網(wǎng)絡(luò)結(jié)構(gòu)和傳播特征的互聯(lián)網(wǎng)信息載體。根據(jù)社會(huì)關(guān)系強(qiáng)弱和信息傳播機(jī)制的不同,把股票信息傳播渠道分為傳統(tǒng)信息渠道和社會(huì)媒體渠道兩大類(lèi)。從信息渠道影響投資者關(guān)注及行為角度,將信息渠道、投資者決策與股票市場(chǎng)連接起來(lái),分別梳理了兩種信息渠道對(duì)股票市場(chǎng)的影響機(jī)理,提出了一個(gè)能夠合理描述金融市場(chǎng)信息傳播與定價(jià)的理論框架。實(shí)證方面,利用百度指數(shù)和微博指數(shù)上股票簡(jiǎn)稱(chēng)的搜索數(shù)據(jù),作為反映不同信息渠道上投資者的關(guān)注度,驗(yàn)證不同信息傳播渠道對(duì)股票市場(chǎng)的影響。研究發(fā)現(xiàn):(1)基于傳統(tǒng)信息渠道,投資者對(duì)市場(chǎng)股票的關(guān)注總體是穩(wěn)定的,只是在個(gè)股的關(guān)注上有所差異;對(duì)個(gè)股的異常收益率解釋能力不足,但對(duì)個(gè)股換手率和成交量有較強(qiáng)的解釋能力;傳統(tǒng)信息渠道在投資者獲取信息上仍舊發(fā)揮著重要作用,對(duì)股票市場(chǎng)的影響是非常顯著的。(2)基于社會(huì)媒體渠道,投資者對(duì)市場(chǎng)股票的關(guān)注總體是穩(wěn)定的,但對(duì)個(gè)股的關(guān)注極差很大,存在馬太效應(yīng);對(duì)個(gè)股換手率有較強(qiáng)的解釋能力,但對(duì)個(gè)股異常收益率和成交量的解釋能力有限,遠(yuǎn)不如傳統(tǒng)信息渠道;在股票整體異常收益率上,較傳統(tǒng)信息渠道具有更強(qiáng)的解釋力。(3)當(dāng)某只股票受到事件或消息影響時(shí),社會(huì)媒體渠道的作用要明顯大于新聞媒體等參與度較低的傳統(tǒng)信息渠道;相對(duì)于傳統(tǒng)信息渠道,社會(huì)媒體渠道會(huì)降低市場(chǎng)的異質(zhì)程度,對(duì)市場(chǎng)整體的有效性具有推動(dòng)作用。
[Abstract]:The price information in the securities market that plays a decisive role to a certain extent, nature can be called financial. In the rapid development of social media, big data background, information sources and forms of securities market on the individual in the analysis and decision on the become diversified, also with different search methods and use information behavior. Information on the stock price through the communication channels of different functions, explore the different channels of information dissemination itself the impact on stock prices, for the study of information influence significance on asset pricing. This paper studies the impact of traditional and social media information dissemination channels on the price of the stock market of our country from two aspects of theory and empirical. In theory, the theory of financial asset pricing theory, information theory and information dissemination dynamics theory, the information transmission channel The definition of Internet information carrier that has a network structure and communication characteristics. According to the strength of social relations and information dissemination mechanisms, the stock information dissemination channels are divided into traditional information channels and social media channels into two categories. From the information channel influence angle of injection and investor behavior, information channels, and investors the stock market is connected, the mechanism of the effect of two kinds of channels of information on the stock market were combing, puts forward a theoretical framework of financial market can reasonably describe the dissemination of information and pricing. The empirical analysis, using Baidu search data index and micro-blog index stock short, as a reflection of different information channels on the investor's attention, verification effect of different channels of information dissemination on the stock market. The study found that: (1) based on the traditional information channels, investors on the stock market is stable overall attention The only difference in the stocks of concern; abnormal return rates of stock to explain the lack of ability, but the stock turnover rate and turnover have strong explanatory power; traditional information channels in investors access to information still plays an important role on the stock market, the impact is very significant. (2) based on social media channels, investors on the stock market's attention is generally stable, but the stocks of the attention range is large, there Matthew effect; on the stock exchange rate has a strong ability to explain, but the rate of abnormal returns and stock volume interpretation ability is limited, far better than the traditional channels of information in stock; the abnormal rate of return, compared with the traditional channels of information has more explanatory power. (3) when a stock by events or news, social media channels to be significantly greater than the role of news media in the traditional low degree of information Channels, compared with traditional information channels, social media channels will reduce the heterogeneity of the market and promote the effectiveness of the market as a whole.

【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：G206;F832.51

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