投资风格、意见分歧与股票流动性——来自股票网络社区数据挖掘的证据
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摘要
文章挖掘网络平台上投资者发帖的文本数据并使用Python语言编写情感分析程序,在区分价值型投资和技术型投资风格的基础上,建立了投资者的群体内意见分歧、跨群体意见分歧指标,并分析意见分歧程度对股票流动性的影响效应。实证表明:不同投资风格的投资者群体内意见分歧的程度有显著差异,价值型投资者群内意见分歧程度要高于技术型投资者;投资者的群体内意见分歧和跨群体意见分歧都与个股流动性水平呈现显著的负相关关系,也即投资者对个股看法的对立程度越高则个股的流动性水平越低,而且两者对流动性的影响具有较强的独立性;进一步的,意见分歧对流动性的影响效应会受到卖空限制的影响,随着卖空限制的减轻,这种影响效应显著增强。这些结论表明,单纯增加信息量并提高信息传播效率,并不一定能完全改善股票流动性水平,投资者的意见分歧既是现实情境,又可能会导致股票流动性的异动,进而影响股票市场的稳定。
The paper mines the text data posting on the netw ork platform from investors and edits the sentiment analysis program w ith Python language. On the basis of distinguishing value investment and technology investment style,the paper establishes the disagreement of opinions w ithin the group of investors and betw een groups,analyzes the effect of disagreement on the liquidity of stocks.The empirical results show that there are significant differences in the disagreement among investors w ith different investment styles. The degree of disagreement among value investors is higher than that of technical investors. There is a significant negative correlation w ith the liquidity of individual stocks,that is,the higher the degree of investor's opposition to individual stocks,the low er the liquidity level of individual stocks. Further,the effect of disagreement on liquidity w ill be affected by short-selling restrictions. With the reduction of short-selling restrictions,this effect is more significant. These conclusions show that simply increasing the amount of information and improving the efficiency of information dissemination may not completely improve the liquidity of stocks. The divergence of opinions among investors is not only a realistic situation,but also may lead to changes in stock liquidity,w hich in turn affects the stability of the stock market.
The paper mines the text data posting on the netw ork platform from investors and edits the sentiment analysis program w ith Python language. On the basis of distinguishing value investment and technology investment style,the paper establishes the disagreement of opinions w ithin the group of investors and betw een groups,analyzes the effect of disagreement on the liquidity of stocks.The empirical results show that there are significant differences in the disagreement among investors w ith different investment styles. The degree of disagreement among value investors is higher than that of technical investors. There is a significant negative correlation w ith the liquidity of individual stocks,that is,the higher the degree of investor's opposition to individual stocks,the low er the liquidity level of individual stocks. Further,the effect of disagreement on liquidity w ill be affected by short-selling restrictions. With the reduction of short-selling restrictions,this effect is more significant. These conclusions show that simply increasing the amount of information and improving the efficiency of information dissemination may not completely improve the liquidity of stocks. The divergence of opinions among investors is not only a realistic situation,but also may lead to changes in stock liquidity,w hich in turn affects the stability of the stock market.
引文
包锋、徐建国,2015,“异质信念的变动与股票收益”,《经济学(季刊)》,第3期,第1591-1610页。
陈国进、张贻军,2009,“异质信念、卖空限制与我国股市的暴跌现象研究”,《金融研究》,第4期,第80-91页。
陆静、曹国华、唐小我,2011,“基于异质信念和卖空限制的分割市场股票定价”,《管理科学学报》,第1期,第13-27页。
史永东、李凤羽,2012,“卖空限制、意见分歧收敛与信息披露的股价效应第来自A股市场的经验证据”,《金融研究》,第8期,第111-124页。
王凤荣、赵建,2006,“基于投资者异质性信念的证券定价模型第对我国股票市场价格的实证检验”,《经济管理》,第18期,第41-46页。
汪宜霞、张辉,2009,“卖空限制、意见分歧与IPO溢价”,《管理学报》,第9期,第1204-1208页。
张峥、李怡宗、张玉龙,2014,“中国股市流动性间接指标的检验一基于买卖价差的实证分析”,《经济学(季刊)》,第4期,第233-262页。
朱宏泉、余江、陈林,2016,“异质信念、卖空限制与股票收益:基于中国证券市场的分析”,《管理科学学报》,第7期,第115-126页。
郑敏,2015,“异质信念、生存条件及市场影响力”,《管理科学学报》,第8期,第73-82页。
郑振龙、王磊、王路跖,2013,“特质偏度是否被定价?”,《管理科学学报》,第5期,第1-12页。
Amihud Y,2002“Illiquidity and Stock Returns:Cross-section and Time-series Effects",Journal of financial markets,5(1):31-56.
Antweiler W,Frank M Z,2004,"Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards",The Journal of Finance,59(3):1259-1294.
B ail T G,Hov akimian A,2009,"Volatility Spreads and Expected Stock Returns",Management Science,55(11):1797-1812.
Baker M,Stein J C,2004,"Market Liquidity as A Sentiment Indicator",Journal of Financial M arkets,7(3):271-299.
Banerjee S,Kaniel R,Kremer I,2009,"Price Drift as an Outcome of Differences in Higher-order Beliefs",Review of Financial Studies,22(9):3707-3734.
Berkman H,Dimitroy V,Jain P C.,2009,"Sell on the News:Differences of Opinion,Short-sales Constraints,and Returns Around Earnings Announcements",Journal of Financial Economics,92(3):376-399.
Brennan M J,Subrahmanyam A.,1996,"Market Microstructure and Asset Pricing:On the Compensation for Illiquidity in Stock Returns”,Journal of Financial Economics,41(3):441-464.
Cao C,Hansch 0,Wang X.,2009,"The Information Content of an Open Limit-order Book",Journal of Futures Markets,29(1):16-41.
C arlin B,Long F A,M atoba K.,2014,"Disagreement and Asset Prices",Journal of Financial Economics,114(2):226-238.
Chordia M J,Tarun A,Richard T.,2000,"Co-Movements in Bid-ask Spreads and M arket Depth",Financial Analysts Journal,56(5):23-27.
Chang Y C,Hong H G,Tiedens L.,2013,"Does Diversity Lead to Diverse Opinions? Evidence from Languages and Stock M ark ets", Journal of Financial Research,36(4):235-260.
Chen H.,2010,"Macroeconomic Conditions and the Puzzles of Crerdit Spreads and C.apital Structure",The Journal of Finance,65(6):2171-2212.
Davies S W.,2014,"Retail Traders and the Competitive Allocation of Attention",Working Paper,Leeds School of Business,University of Colorado at Boulder.
Dechow P M,Hutton A P,Meulbroek L.,2001,"Short-sellers,Fundamental Analysis and Stock Returns",Journal of Financial Econo mics,61(1):77-106.
Diamond D W,Verrecehia R E,1987,"Constraints on Short-selling and Asset Price Adjustment to Private Information",Journal of Financial Eco nomics,18(2):277-311.
Diether K B,Malloy C J,Scherbina A.,2002,"Differences of Opinion and the Cross Section of Stock Returns",The Journal of Finance,57(5):2113-2141.
Dumas B,Fleming J,Whaley R E.,1998,"Implied Volatility Functions:Empirical Tests",The Journal of Finance,53(6):2059-2106.
Garfinkel J A,Sokobin J., 2006,"Volume,Opinion Divergence,and Returns:A Study of Post-earnings Announcem ent Drift",Journal of Accounting Research,44(1):85-1 12.
Hal R V.,1985,"Divergence of Opinion in Complete Markets:a Note",The Journal of Finance,40(1):309-317.
Houge T,Loughran T,Suchanek G.,2001,"Divergence of Opinion,Uncertainty,and the Quality of Initial Public Offerings",Financial M anagement,30(4):5-23.
Hong H,Stein J C.,2007,"Disagreement and the Stock Market",The Journal of Economic Perspectives,21(2):109-128.
Kyle B,Albert S.,1985,"Continuous Auctions and Insider Trading",Econometrica,53(6):1315-1335.
Liu S.,2015,"Investors Sentiment and Stock Market Liquidity",Journal of Behavioral finance,16(1):51-67.
Long B D,Shleifer A,Summers I. H.,1990,"N oise Trader Risk in Financial M arkets",Journal of Political Economy,29(7):703-738.
Loughran T,Marietta W J., 2005,"Divergence of Opinion Surrounding Extreme Events",European Financial Management,11(5):579-601.
Miller E M.,1977,"Risk,Uncertainty, and Divergence of Opinion",The Journal of Finance,32(4):1151-1168.
Milton H,Artur R.,1993,"Differences of Opinion Make a Horse Race",Review of Financial Studies,6(3):473-506.
Rees L,Thomas W.,2010,"The Stock Price Effects of Changes in Dispersion of Investor Beliefs During Earnings Announcements",Review of Accounting Studies,15(1):1-31.
(1)投资者规模数据来自于中国证券登记结算有限公司发布的《中国证券登记结算统计年鉴(2017)》;投资者交易量数据来自于上海证券交易所发布的《上海证券交易所统计年鉴(2018卷)》。
陈国进、张贻军,2009,“异质信念、卖空限制与我国股市的暴跌现象研究”,《金融研究》,第4期,第80-91页。
陆静、曹国华、唐小我,2011,“基于异质信念和卖空限制的分割市场股票定价”,《管理科学学报》,第1期,第13-27页。
史永东、李凤羽,2012,“卖空限制、意见分歧收敛与信息披露的股价效应第来自A股市场的经验证据”,《金融研究》,第8期,第111-124页。
王凤荣、赵建,2006,“基于投资者异质性信念的证券定价模型第对我国股票市场价格的实证检验”,《经济管理》,第18期,第41-46页。
汪宜霞、张辉,2009,“卖空限制、意见分歧与IPO溢价”,《管理学报》,第9期,第1204-1208页。
张峥、李怡宗、张玉龙,2014,“中国股市流动性间接指标的检验一基于买卖价差的实证分析”,《经济学(季刊)》,第4期,第233-262页。
朱宏泉、余江、陈林,2016,“异质信念、卖空限制与股票收益:基于中国证券市场的分析”,《管理科学学报》,第7期,第115-126页。
郑敏,2015,“异质信念、生存条件及市场影响力”,《管理科学学报》,第8期,第73-82页。
郑振龙、王磊、王路跖,2013,“特质偏度是否被定价?”,《管理科学学报》,第5期,第1-12页。
Amihud Y,2002“Illiquidity and Stock Returns:Cross-section and Time-series Effects",Journal of financial markets,5(1):31-56.
Antweiler W,Frank M Z,2004,"Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards",The Journal of Finance,59(3):1259-1294.
B ail T G,Hov akimian A,2009,"Volatility Spreads and Expected Stock Returns",Management Science,55(11):1797-1812.
Baker M,Stein J C,2004,"Market Liquidity as A Sentiment Indicator",Journal of Financial M arkets,7(3):271-299.
Banerjee S,Kaniel R,Kremer I,2009,"Price Drift as an Outcome of Differences in Higher-order Beliefs",Review of Financial Studies,22(9):3707-3734.
Berkman H,Dimitroy V,Jain P C.,2009,"Sell on the News:Differences of Opinion,Short-sales Constraints,and Returns Around Earnings Announcements",Journal of Financial Economics,92(3):376-399.
Brennan M J,Subrahmanyam A.,1996,"Market Microstructure and Asset Pricing:On the Compensation for Illiquidity in Stock Returns”,Journal of Financial Economics,41(3):441-464.
Cao C,Hansch 0,Wang X.,2009,"The Information Content of an Open Limit-order Book",Journal of Futures Markets,29(1):16-41.
C arlin B,Long F A,M atoba K.,2014,"Disagreement and Asset Prices",Journal of Financial Economics,114(2):226-238.
Chordia M J,Tarun A,Richard T.,2000,"Co-Movements in Bid-ask Spreads and M arket Depth",Financial Analysts Journal,56(5):23-27.
Chang Y C,Hong H G,Tiedens L.,2013,"Does Diversity Lead to Diverse Opinions? Evidence from Languages and Stock M ark ets", Journal of Financial Research,36(4):235-260.
Chen H.,2010,"Macroeconomic Conditions and the Puzzles of Crerdit Spreads and C.apital Structure",The Journal of Finance,65(6):2171-2212.
Davies S W.,2014,"Retail Traders and the Competitive Allocation of Attention",Working Paper,Leeds School of Business,University of Colorado at Boulder.
Dechow P M,Hutton A P,Meulbroek L.,2001,"Short-sellers,Fundamental Analysis and Stock Returns",Journal of Financial Econo mics,61(1):77-106.
Diamond D W,Verrecehia R E,1987,"Constraints on Short-selling and Asset Price Adjustment to Private Information",Journal of Financial Eco nomics,18(2):277-311.
Diether K B,Malloy C J,Scherbina A.,2002,"Differences of Opinion and the Cross Section of Stock Returns",The Journal of Finance,57(5):2113-2141.
Dumas B,Fleming J,Whaley R E.,1998,"Implied Volatility Functions:Empirical Tests",The Journal of Finance,53(6):2059-2106.
Garfinkel J A,Sokobin J., 2006,"Volume,Opinion Divergence,and Returns:A Study of Post-earnings Announcem ent Drift",Journal of Accounting Research,44(1):85-1 12.
Hal R V.,1985,"Divergence of Opinion in Complete Markets:a Note",The Journal of Finance,40(1):309-317.
Houge T,Loughran T,Suchanek G.,2001,"Divergence of Opinion,Uncertainty,and the Quality of Initial Public Offerings",Financial M anagement,30(4):5-23.
Hong H,Stein J C.,2007,"Disagreement and the Stock Market",The Journal of Economic Perspectives,21(2):109-128.
Kyle B,Albert S.,1985,"Continuous Auctions and Insider Trading",Econometrica,53(6):1315-1335.
Liu S.,2015,"Investors Sentiment and Stock Market Liquidity",Journal of Behavioral finance,16(1):51-67.
Long B D,Shleifer A,Summers I. H.,1990,"N oise Trader Risk in Financial M arkets",Journal of Political Economy,29(7):703-738.
Loughran T,Marietta W J., 2005,"Divergence of Opinion Surrounding Extreme Events",European Financial Management,11(5):579-601.
Miller E M.,1977,"Risk,Uncertainty, and Divergence of Opinion",The Journal of Finance,32(4):1151-1168.
Milton H,Artur R.,1993,"Differences of Opinion Make a Horse Race",Review of Financial Studies,6(3):473-506.
Rees L,Thomas W.,2010,"The Stock Price Effects of Changes in Dispersion of Investor Beliefs During Earnings Announcements",Review of Accounting Studies,15(1):1-31.
(1)投资者规模数据来自于中国证券登记结算有限公司发布的《中国证券登记结算统计年鉴(2017)》;投资者交易量数据来自于上海证券交易所发布的《上海证券交易所统计年鉴(2018卷)》。