百度关注度对股票收益率的影响——基于VEC模型的实证分析

Baidu Attention to the Impact of Stock Return Rate——An Empirical Analysis Based on Baidu Index and VEC Model

基于百度指数所提供关键词搜索数据,构建百度看涨指数和百度看跌指数,形成了百度关注度.依据2017.2-2019.2的上证指数收益率数据,利用VEC模型和格兰杰因果检验,分析了百度关注度对股票收益率的影响.结果表明,投资者关注度是股票市场的格兰杰原因,百度看涨指数以0.4%的比例正面影响收益率,百度看跌指数以0.7%的比例负面影响收益率.而脉冲响应分析发现了投资者关注度对股票收益率的影响较持久,而后者对前者的波动十分敏感.最后,结合上述所得到的结论,基于投资者和监管者的立场分别给出了不同的有效建议.

Based on the keyword search data provided by the Baidu Index,Baidu's bullish index and Baidu's bearish index were constructed,which formed Baidu's attention.According to the Shanghai Stock Index's return rate data of 2017.2-2019.2,using the VEC model and the Granger causality test,the influence of Baidu's attention on stock returns is analyzed.The results show that investor attention is the Granger cause of the stock market.The Baidu Bullish Index positively affects the yield with a ratio of 0.4%.The Baidu Bear Index negatively affects the yield with a ratio of 0.7%.The impulse response analysis shows that the investor's attention has a longer-lasting effect on the stock's return rate,while the latter is very sensitive to the former's fluctuations.Finally,combined with the conclusions obtained above,different effective suggestions are given based on the positions of investors and regulators.