股市谣言与股价波动:来自行为实验的证据

Rumors in the Stock Market and Stock Price Volatility:Evidence from a Behavioral Experiment

信息是引起股票价格波动的核心因素,谣言作为一种特殊的信息如何影响投资者的风险决策至今仍然是一个谜。由于利用真实股票市场数据来检验谣言与股价的关系无法控制预期等因素的影响,本文采用了行为实验方法,首先建立一个包括情绪因子的行为风险决策模型,然后设计了一个2×3×3的风险决策实验,考察仅包括虚假信息的谣言对股票市场买卖双方风险决策的影响。我们利用双重差分计量模型检验发现,与有效市场理论不同,买卖双方面对负面谣言冲击时会显著降低风险资产比例,面对正面谣言冲击时卖方显著提高风险资产比例,但买方不显著。除买方负面谣言组外,谣言影响风险资产比例不具有持续性或外部性。本文首次证实了谣言会直接影响人们的风险投资行为进而导致股价过度波动,为监管部门打击造谣、传谣提供了有力的经验证据。

Information is one of the key influential factors of the stock price volatility. Yet as a special kind of information, how does rumor affect the risk decision-making in stock market remains unknown. Because using real asset market data cannot differentiate the pure effect of rumor apart from the shift of expectations, we apply the method of lab experiment. Firstly we set up a behavioral risk decision-making model with the emotion factor. Then we design a 2× 3 × 3 experiment based on this model. By analyzing with the difference-in-difference method, we find that relative to no rumor treatment, both buyers and sellers are more risk averse when receiving bad rumors and more risk seeking when receiving good rumors. However, this impact on risk preference does not last and has no externality. Finding the impact of rumors on risk decision makings and stock price volatility will provide solid support for the policy makers to address the oroblem.