“粤港澳大湾区”网络热度对相关公司股价波动影响研究

Research on the Influence of"Guangdong-Hong kong-Macao Greater Bay Area"Network Popularity on the Stock Price Volatility of Related Companies

本文从投资者关注的视角出发,根据粤港澳大湾区网络热度的特性,利用65家相关上市公司的股价数据,结合var脉冲响应函数和事件研究法,分阶段分析粤港澳大湾区网络热度与其股票超额收益率变化的联动关系。研究发现,粤港澳大湾区网络热度的持续确能推动股票超额收益率的提高,但影响的力度有限,随着事件效应的消退,股票的超额收益率出现下降趋势,股票市场最终回归理性。网络信息技术与大数据技术的日益成熟,一方面,减少了信息不对称的影响;另一方面,也推动了概念炒作与虚假新闻的泛滥,因此投资者需要理性分析,谨慎投资,不可盲目跟风。

From the perspective of investors'attention,this paper,based on the characteristics of the internet popularity of the"Guangdong-Hong Kong-Marco Greater Bay Area",uses the stock price data of 65 related listed companies,and combines the impulse response function of var and event research method to analyze the linkage relationship between the internet popularity and the change of excess stock return rate in stages.The research finds that the continuous popularity of the Internet can indeed promote the increase of the excess return of stocks,but the impact is limited.With the fading of the event effect,the excess return of stocks shows a downward trend,and the stock market eventually returns to rationality.The increasing maturity of network information technology and big data technology,on the one hand,reduces the impact of information asymmetry,butit also promotes the spread of concept hype and false news.Therefore,investors need rational analysis and prudent investment,and should not blindly follow the trend.