网络关注度对我国股票市场信息不对称程度的影响

The Influence of Online Attention on the Information Asymmetry in China's Stock Market

以2013-2016年391支股票的360搜索指数中的投资者关注度和媒体关注度的指数作为网络关注度度量指标,同时基于股票市场交易数据采用多种信息不对称计算方法构建了信息不对称性度量指标,并进一步构造了信息不对称主成分综合指标。通过建立横截面回归模型,探究投资者和媒体关注度对我国股票市场的信息不对称程度的影响作用。实证分析及稳健性检验结果表明:投资者关注度的增加会减少知情交易及信息不透明程度,从而减少了股票市场的信息不对称程度,提高了股票市场的流动性;媒体关注度对不同的信息不对称性度量指标的影响存在着不一致性。本研究通过探索投资者关注度及媒体关注度在新兴市场中的应用,对于我国证券市场监管层制定政策以及对于普通投资者优化投资策略都具有重要的参考意义。

The index of investor attention and media attention in the 360 search index of 391 stocks in 2013 to 2016 is taken as the index of network attention. At the same time, information asymmetry is constructed based on stock market transaction data. And then constructs the comprehensive information asymmetric principal component index. Through the establishment of cross-sectional regression model, the paper explores the influence of investor and media attention on the degree of information asymmetry in China's stock market. The results of empirical analysis and robustness test show that the increase of investor's attention will reduce the degree of information exchange and the degree of information opacity, thus reducing the information asymmetry in the stock market and improving the liquidity of the stock market. The media attention is under different conditions. There is an inconsistency in the impact of asymmetric metrics. This study explores the application of investors' attention and media attention in emerging markets, which is of great significance to the formulation of policies of China's securities market regulators and the optimization of investment strategies for ordinary investors.