摘要
近年来公开的搜索引擎关键词搜索量数据为研究个人投资者信息关注度提供了基础,但现有文献大多致力于分析投资者关注度对交易行为和股价的影响,极少研究投资者关注度的影响因素。基于289支沪深300成份股在2007.1.7-2010.2.6期间的谷歌关键词搜索量数据,我们构建非均衡面板固定效应模型,在控制了个股、行业和市场层面的股票特征变量之后,分析了历史交易信息变量对个人投资者关注度的影响,发现其对个人投资者信息关注度有着诸多明确的影响规律。
The key words search volume data made public recent years gives a foundation for the study of individual investor＇s information concern. But the major literatures all dedicate to analyze the influence of investor concern on trading behavior and stock price, hardly any of them studies the influence factor of investor＇s concern. Based on the Google key words search data of 289 stocks of Hu-Sheng 300 index between 2007.1.7-2010.2.6, after controlled the stock character variables on individual stocks, industry and market, we construct several unbalanced fixed effect panel data models to analyze the influence of historical trade information variables. We find they have several clear influence patterns on individual investor＇s information concern.
出处
《投资研究》
2015年第5期118-142,共25页
Review of Investment Studies
基金
教育部人文社会科学研究青年基金项目(15YJC790099)资助
关键词
关键词搜索量
个人投资者信息关注度
历史交易信息
search volume
Individual investor＇s information concern
Historical trade information
