投资者情绪、数字沟通与市场定价效率——基于“互动易”的实证研究

Investor Sentiment,Digital Communication and Market Pricing Efficiency:Based on the Empirical Research of“Hudongyi”

数字沟通在实现“两人沟通,市场共享”方面发挥着重要作用,对资本市场产生了深远影响。本文运用人工智能和文本向量化技术,对深圳证券交易所“互动易”平台2010至2019年期间的近300万条互动沟通大数据进行了情绪和信息质量分析,揭示了投资者情绪的消极性、数字化沟通以及市场定价效率之间的复杂互动关系。研究发现:第一,投资者情绪的消极性与市场定价效率之间存在显著的负向关联。第二,投资者与上市公司间的高质量数字化互动一方面直接促进了股票定价效率的提升,另一方面有效地缓解了投资者情绪的消极性对市场的影响。第三,虽然数字沟通中的噪音本身对市场定价效率没有直接影响,但可能加剧了投资者情绪的不良市场影响。研究认为,提升沟通信息的质量、优化信息披露机制以及整合数字沟通平台对于阻断消极情绪的积累和提高资本市场资源配置效率至关重要。

Digital communication plays a crucial role in facilitating mutual communication and shared market insights,exerting a far-reaching influence on the capital market.This paper employs artificial intelligence and text vectorization techniques to analyze sentiment and information quality across nearly 3 million interactions on the Shenzhen Stock Exchange's Hudongyi platform from 2010 to 2019.The study reveals the complex interplay between investor sentiment negativity,digital communication,and market pricing efficiency.The findings are as follows:First,there is a significant negative correlation between the negativity of investor sentiment and market pricing efficiency.Second,high-quality digital interactions between investors and listed companies,on the one hand,directly enhance stock pricing efficiency,and on the other hand,effectively mitigate the negative impact of investor sentiment on the market.Third,while noise in digital communication does not directly affect market pricing efficiency,it may exacerbate the negative market impact of investor sentiment.The study suggests that enhancing the quality of communication information,improving information disclosure mechanisms,and integrating digital communication platforms are crucial for preventing the accumulation of negative sentiment and improving the efficiency of resource allocation in the capital market.