社会互动,投资者情绪传染与资产泡沫——基于股票论坛发帖的实证研究

Social Interaction,Investor Sentiment Contagion and Asset Bubbles:An Empirical Study Based on the Stock Forum Discussion

在资本市场中,投资者并不是相互独立的个体,而是相互学习、相互交流的。随着互联网的迅猛发展,这种社会互动变得更为频繁和普遍,因此社会互动对资产价格的影响也不容小觑。本文先通过理论建模提出理论假设:社会互动存在条件下,投资者互动会加剧市场情绪的传染,进而增加资产泡沫;当投资者情绪高涨时,投资者互动强度显著正向影响泡沫;当投资者情绪低落时,投资者互动强度显著负向影响泡沫;受社会互动影响,投资者活跃的交易会加剧市场情绪的传染,进而增加资产泡沫。之后本文基于股票论坛发帖构建社会互动、投资者情绪指标,验证了中国股票市场中本文理论假设的正确性。

In the capital market, investors are not independent of each other, but they learn from each other and communicate with each other. With the rapid development of the Internet, this kind of social interaction becomes more frequent and widespread. As a result, the influence of social interaction on asset prices cannot be underestimated. In this paper, we put forward three theoretical hypothesis through theoretical modeling. Firstly, under the condition of the existence of social interaction, investor interaction will increase the degree of market sentiment contagion, and then will increase the asset bubbles. Secondly, when investor sentiment is high, the strength of investor interaction significantly positively influences the bubble, and vice versa. Affected by social interaction, investors active trading will increase the degree of investor sentiment contagion, and then will increase the asset bubbles. Afterwards, we construct social interaction and investor sentiment index based on stock forum discussion, to verify the correctness of the theoretical hypothesis proposed in this paper based on Chinese stock market.