网络搜索能预测股票市场吗？

Can Internet Search Predict the Stock Market?

网络搜索与股票市场间相互作用,投资者网络搜索行为会对资产定价形成影响。本文实证研究发现:(1)投资者网络搜索强度对股票短期收益率、短期交易量及累积收益率均有影响。(2)股票市场能影响网络搜索,但网络搜索可以在更大程度上影响并预测股票市场的表现,网络搜索与股票收益间存在的内生性问题对预测效果的影响很小。模拟分析发现,根据网络搜索构建投资组合可以获取超额收益。(3)投资者网络搜索强度指标与传统的投资者情绪和投资者关注指标间存在较强的相关关系;相较于投资者情绪和投资者关注,投资者网络搜索对股票市场的解释力及预测效力更强。

An intrinsic mechanism is suggested to exist among the interactions between the individual trader＇s internet search behavior and the target stock＇s market performance. Individual traders＇ internet search behavior on the stock symbol will substantially influence the intertemporal stock price. We find that： （ 1 ） Internet search intensity can predict the stock＇s short - run return, trading volume and cumulative return, which implies a posi- tive relationship between internet search and stock market. （2） Interuet search intensity can affect stock market further and predict stock market effectively. Moreover, a simulation analysis reveals that a stock portfolio con- structed according to the internet search will yield excess abnormal return. （3） Internet search intensity index is strongly correlated with traditional investor sentiment index and investor attention index, and is more powerful to explain and predict stock market.