新闻媒体与股价指数关系的实证研究——基于VAR模型

Empirical Study on the Relationship Between News Media and Stock Price Index——Based on the VAR Model

由于各种金融异象的发生,传统金融学很多理论已无法解释股票市场的很多现象,以研究投资者心理为基础的行为金融学悄然兴起并迅速发展。但投资者情绪是难以测度的复杂情绪指标,在计算机技术的推动下,越来越多学者开始从新闻媒体这一角度,分析新闻媒体的影响。新闻媒体对于股票价格影响的研究虽然得到学术界的广泛关注,但是实证和理论研究仍然偏少。在此背景下,运用计量经济学模型实证研究新闻媒体对股票价格指数的影响显得尤为重要。本文主要从实证检验的角度分析新闻媒体与股价指数二者之间的关系。同时,构建向量自回归模型VAR,从多个方面综合分析了我国新闻媒体指数与股票价格指数之间的动态关系,从而充分认识新闻媒体对股市的影响,并从上市公司、投资者、监管者三个角度提出相关建议。

Due to the occurrence of various financial anomalies,many theories of traditional finance have been unable to explain many phenomena of the stock market,and behavioral finance,which is based on the study of investor psychology,has emerged quietly and developed rapidly.However,investor sentiment is an indicator of complex emotions that is difficult to measure.Drived by computer technology,more and more scholars begin to analyze the influence of news media from the perspective of news media.Although the research on the influence of news media on stock price has received extensive attention in the academic circle,empirical and theoretical research is still less.In this context,it is particularly important to use econometrics model to empirically study the influence of news media on stock price index.This paper mainly analyzes the relationship between news media and stock price index from the perspective of empirical test.At the same time,a vector autoregressive model(VAR)is constructed to comprehensively analyze the dynamic relationship between China’s news media index and stock price index from multiple aspects,so as to fully understand the impact of news media on the stock market,and relevant suggestions are put forward from the perspectives of listed companies,investors and regulators.