华东师范大学(哲学社会科学版) ›› 2017, Vol. 49 ›› Issue (6): 136-143.doi: 10.16382/j.cnki.1000-5579.2017.06.014

• 管理问题研究 • 上一篇    下一篇

公司新闻、投资者关注与股价运行——来自股吧的证据

叶德磊, 姚占雷, 刘小舟   

  1. 华东师范大学经济与管理学部 上海, 200241
  • 出版日期:2017-11-15 发布日期:2017-11-16
  • 作者简介:叶德磊,华东师范大学经济与管理学部教授,博士生导师(上海,200241);姚占雷,华东师范大学经济与管理学部实验室工程师;刘小舟,华东师范大学经济与管理学部硕士研究生。

Company News, Investors' Attention and Stock Price Movement:Evidence from a Stock Forum

YE De-lei, YAO Zhan-lei, LIU Xiao-zhou   

  • Online:2017-11-15 Published:2017-11-16

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摘要：

作为体现媒体关注度的对上市公司的新闻报道量，以及投资者对特定上市公司或股票的关注度等是否会影响对应股票价格的运行，这乃是行为金融学的重要研究领域。基于持续跟踪了半年之久的东方财富股吧中37万多条信息转化而来的数据进行的实证研究表明，以股吧中的发帖数衡量的投资者关注度、公司新闻量以及公告数对相关股票当周的价格波动幅度均分别具有较为显著的影响，且公告数与对应股价的波幅呈负相关，但这种影响具有时效上的短促性。股吧发帖数、公告数与当周和下一周的股价涨幅均不存在显著相关性，而公司新闻量对当周的股价涨幅有明显的正向影响。媒体新闻与公司公告数几乎没有关联性，但公司的新闻报道会在一定程度上引起投资者的关注。

关键词: 股吧, 投资者关注, 股价, 发帖, 公司新闻, 公司公告

Abstract:

Will news about listed companies, which reflects media attention, and investors' attention to certain companies or stocks affect the price movement of the corresponding stock? This has become an important research field of behavioral finance. Based on the data converted by over 370 thousand pieces of information tracked in a stock forum for half a year, this paper shows that investors' attention, which is measured by the number of posts in the stock forum, company news and announcements all have significant effects on the price volatility of related stocks within a week. However, these effects are time-sensitive and short-term. Posts and announcements released in the stock forum in a certain week have no significant correlation with the range of rise or fall in stock price that week as well as the week after, while company news have obvious positive impacts on that weeks' rise-decline range of stock price. There is little correlation between company news and announcements. However, news reports about listed companies will catch the attention of investors to some extent.

Key words: Stock forum, investors' attention, stock price, posts, company news, company announcements