网络沟通对股票市场的影响--基于投资者有限关注视角的研究

The Impact of Internet Communication on Stock Markets--A Research from the Perspective of Investor’s Limited Attention

本文通过雪球网数据构建投资者网络沟通质量指标,并结合分析师预测特色数据,实证检验投资者网络沟通行为对股价同步性及特质性波动的影响。研究发现:网络沟通与股价同步性之间呈U形非线性关系,而与股价的特质性波动呈正相关;分析师预测特色数据通过投资者网络沟通行为进入股票市场,其中网络沟通质量与分析师乐观度的交互项同股价同步性呈负相关,而与股票特质性波动呈正相关。进一步细分市场发现,投资者网络沟通在牛市和熊市中对于股价同步性及特质性波动的影响是非对称的。

Based on the Xueqiu data,this paper constructs the quality index of investor Internet communication and uses the analyst forecast characteristic data to empirically tests the impacts of investor’s Internet communication on the synchronization and characteristic fluctuation of stock price.It’s found that the Internet communication has a U-shaped nonlinear relationship with the synchronization,and a positive relationship with the characteristic fluctuation;the analyst forecast characteristic data enter the stock market through investor’s Internet communication,and the interaction of Internet communication quality and analyst optimism is negatively correlated with the synchronicity,but positively with the characteristic fluctuation.By dividing markets,it’s found that the impacts of investor’s Internet communication on the synchronization and characteristic fluctuation in bull markets are asymmetric with those in bear markets.