摘要
本文选用2007年11月16日至2009年4月10日上证综指收益率和新浪网股票论坛上证综指吧的发帖量数据,通过构建收益率与异常发帖量的多元BEKK-GARCH模型,对收益率与异常发帖量间的波动溢出效应进行实证分析,并以此考察交易市场和股票论坛间的信息传递和相互关系。结果表明:收益率和异常发帖量间存在显著的双向波动溢出关系,收益率对异常发帖量方向存在正向的波动溢出效应,异常发帖量向收益率方向存在负向的波动溢出效应,故交易市场与股票论坛间存在双向信息传递关系;收益率和异常发帖量存在显著的负相关关系,市场下跌提高了投资者的信息需求,股票论坛的信息交流与沟通对稳定金融市场、提高投资理性具有一定作用。
Using data of posing volume on Sina forum bar about SSE Composite Index and its returns from November 16,2007 to April 10,2009,we investigate the volatility spillover effect between returns and abnormal posting volume through a Multivariable BEKK-GARCH model to study the information transmission and mutual relations between the stock market and the stock forum.The results show that there exists a significant two-way volatility spillovers effect between returns and abnormal posting volume： one way is the positive volatility spillover effects from returns to abnormal posting volume,and the other is the negative volatility spillover effects from abnormal posting volume to returns.Therefore,there is a two-way of information transmission relations between the stock market and the stock forum.There is a significant negative correlation between returns and abnormal posting volume.It means that the market fell to increase the information needs of investors.The information exchange and communication on the stock forum has a certain role in stabilizing financial markets and improving the investment rational.
出处
《管理评论》
CSSCI
北大核心
2011年第11期3-11,共9页
Management Review
基金
西南交通大学希望之星项目
国家自然科学基金项目(70771096)
教育部人文社会科学研究课题(09XJC630013
09YJA790169)
教育部高校博士学科点专项科研基金课题(200806131003)
关键词
波动溢出
收益率
股票论坛
volatility spillover
return
stock forum
