券商报告态度与投资者情绪的关系实证研究——以中国联通为例

The Empirical Study on the Relationship between the Brokerage Report Attitude and Investor Sentiment——A Case of China Unicom

本文首先建立了券商报告褒贬义词词库,计算出中国联通自2008年以来的各篇券商报告褒义词比例作为券商报告态度的衡量指标。然后采用向量自回归(VAR)模型分析了券商报告态度与中国联通收益率、成交量、波动率之间的动态关系。发现券商报告在披露消息方面有一期的时滞,而收益率会因为乐观的券商态度出现暂时性的非理性上升,但最终总体有略微的下降。说明券商态度跟随者投资者情绪而改变,并且不含有有效的市场信息,支持了我们提出的第二种假设情况。另一方面,券商态度显著影响着市场收益率,但是与短期内市场上的交易量无显著关系。

The paper firstly establishes a appraise dictionary of the brokerage reports about China United Telecommunications Co. Ltd and calculates the rate of commendatory terms in the reports dating from 2008 as an attitude metrics. By using the Vector Auto Re- gression （VAR） model, the paper analyzes the dynamic relationship between yield rate, trading volume and volatility rate. The study finds that there exists a one-day time lag in the disclosure of the brokerage reports, and the yield rate would rise temporarily and irra- tionally due to the optimistic brokerage attitude, but slightly decreases in the end. This implies that the change of the brokerage attitude follow~ the investor sentiments and does not contain the effective market information, which supports the second hypothesis. On the other hand, brokerage attitude significantly affects the market yield rate, but has no significant relation to the market transaction vol- ume in the short term.