本文選題：有限注意力　切入點：網(wǎng)絡(luò)關(guān)注度效應(yīng)　出處：《浙江大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：今天,互聯(lián)網(wǎng),大數(shù)據(jù)正改變著我們的生活,也改變著我們獲取信息和做出投資決策的方式。股票市場中林林種種的異象已經(jīng)無法用傳統(tǒng)金融學(xué)的理論框架來解釋。隨著互聯(lián)網(wǎng)技術(shù)的發(fā)展,從金融行為學(xué)和投資者關(guān)注度有限理論角度檢驗股票市場中存在的網(wǎng)絡(luò)關(guān)注度效應(yīng)和媒體效應(yīng)的文章越來越多。為了實證和檢驗中國股市中的網(wǎng)絡(luò)關(guān)注度效應(yīng)和媒體效應(yīng),本文選取所有滬深A(yù)股及創(chuàng)業(yè)板股票為研究樣本,以股吧論壇的信息數(shù)據(jù)為關(guān)注度代理指標(biāo),構(gòu)造了投資者關(guān)注度指標(biāo)和意見分歧指標(biāo),應(yīng)用相關(guān)性分析和面板回歸,實證檢驗了網(wǎng)絡(luò)關(guān)注度效應(yīng)在中國股票市場的存在。另外,為了探究投資者關(guān)注的驅(qū)動因素,檢驗網(wǎng)絡(luò)關(guān)注度指標(biāo)是否適用于實際操作,本文創(chuàng)新的提取了主流媒體利好消息事件和投資者關(guān)注度異常事件,應(yīng)用事件研究法,進行對比研究,發(fā)現(xiàn)主流媒體利好消息事件能帶來更可觀的超額收益率。本文的最主要的創(chuàng)新點主要有兩點,一是利用爬蟲和全文檢索的計算機技術(shù),獲取了全部滬深A(yù)股及創(chuàng)業(yè)板的網(wǎng)絡(luò)論壇數(shù)據(jù)以及主流媒體利好消息數(shù)據(jù),在盡可能大的樣本下驗證了網(wǎng)絡(luò)關(guān)注度效應(yīng)和媒體效應(yīng)。二是將網(wǎng)絡(luò)關(guān)注度數(shù)據(jù)提取成事件,利用事件研究法,對比檢驗了網(wǎng)絡(luò)關(guān)注度效應(yīng)和媒體效應(yīng)的強弱,并給個人投資者和監(jiān)管部門提出了策略性建議。
[Abstract]:Today, the Internet, big data is changing our lives, It also changes the way we get information and make investment decisions. Lin Lin's visions in the stock market can no longer be explained by the theoretical framework of traditional finance. With the development of Internet technology, There are more and more articles examining the network attention effect and the media effect in stock market from the angle of financial behavior and investor's limited attention theory, in order to prove and test the network attention effect and media effect in Chinese stock market. This paper selects all Shanghai and Shenzhen A shares and gem stocks as the research samples, takes the information data of the stock bar forum as the proxy index of concern, constructs the index of investor's attention degree and opinion divergence index, and applies the correlation analysis and panel regression. In addition, in order to explore the driving factors of investors' concern, this paper tests whether the network attention index is applicable to the actual operation, in order to test the existence of the network attention effect in China's stock market. This paper innovatively extracts the good news events of the mainstream media and the abnormal events of investors' attention, and applies the method of event research to carry on the comparative research. It is found that good news events in mainstream media can bring more substantial excess returns. There are two main innovations in this paper, one is the use of crawler and full-text retrieval of computer technology, We have obtained all the online forum data of Shanghai and Shenzhen A shares and gem and the positive news data of mainstream media, and verified the network attention effect and media effect under the largest sample possible. Secondly, we extracted the network attention data into events. By using the event research method, this paper compares and tests the network attention effect and the media effect, and puts forward some strategic suggestions to the individual investors and the supervision department.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1619638