媒介信息与投资者过度交易——基于微博舆论、行业新闻与公司公告的实证

Media Information and Overtrading——An Empirical Study on Micro-Blog Posts, Industry News and Company Announcements

【目的】考察在不同类型媒介信息影响下股票投资者过度交易现象是否更加显著。【方法】采用事件分析法考察微博舆论、行业新闻、公司公告信息涉及的公司股票在信息发布前后各时间窗口内异常换手率的差异,检验媒介信息类型的影响差异和信息传播效应。【结果】媒介信息披露后,股票过度交易现象显著;媒介信息传播过程中存在显著内幕效应、信息披露效应以及持续性影响;相比利好信息,投资者更容易受到利空信息的影响而过度交易;投资者过度交易背后体现了其有限关注、选择性关注以及情绪波动等有限理性特征。【局限】样本规模可以进一步扩大,数据依据财经媒介所提供的概念股体系构建信息与股票的关联,但这种关联可能并不完全为投资者所意识,可能会对实证结果产生干扰。【结论】媒介信息对于市场过度交易具有催化作用。该研究在一定意义上可为理解媒介信息、投资者有限理性及其决策偏差等提供证据和视角。

[Objective] This paper tries to discover the impacts of micro-blog posts, industry news and company announcements on investors＇ overtrading. [Methods] We examined the variations of the abnormal stock turnover rates before and after information disclosure from different channels. [Results] Media information posed significant impacts on overtrading, including the insider effect, information disclosure effect and lasting effect before, during and after the disclosure. Besides, investors were more likely to overtrade once exposed to negative news than positive news. The limited attention, selective attention, and mood fluctuation, were correlated to the investors＇ trading behaviors. [Limitations] The sample size could be expanded. Individual investors may not be aware of the findings. [Conclusions] Media information catalyzes the overtrading of irrational investors.