网络社交媒体提升了股票市场流动性吗?——基于投资者互动视角的研究
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摘要
本文从投资者互动的角度研究其对股票市场流动性的影响,从股东基数和信息不对称两方面分析投资者互动影响股票流动性的机理,结果表明:(1)投资者互动增加了上市公司的股东基数,表明投资者互动驱动了投资者交易股票。(2)信息不对称越大,投资者互动对股票流动性的促进作用越强,说明投资者互动减少了投资者间的信息不对称,降低了非知情交易者要求的信息补偿。
The authors of this paper research the impacts of investor interaction on the liquidity of stock markets from the perspective of investor interaction, and analyze the mechanism of investor interactions affecting stock liquidity from shareholder quantity and information asymmetry, the results of the paper show that,(1) the investor interaction results in the increase in shareholder quantity, which indicates that the investor interaction promotes the investors to trade stocks;(2) the greater the information asymmetry is, the stronger the investor interaction promotes the stock liquidity, which indicates that the interaction reduces the information asymmetry between investors and the information compensation required by uninformed traders.
The authors of this paper research the impacts of investor interaction on the liquidity of stock markets from the perspective of investor interaction, and analyze the mechanism of investor interactions affecting stock liquidity from shareholder quantity and information asymmetry, the results of the paper show that,(1) the investor interaction results in the increase in shareholder quantity, which indicates that the investor interaction promotes the investors to trade stocks;(2) the greater the information asymmetry is, the stronger the investor interaction promotes the stock liquidity, which indicates that the interaction reduces the information asymmetry between investors and the information compensation required by uninformed traders.
引文
曹廷求、刘海明、程子奇,2014.广告宣传、股票流动性与公司治理[J].上海财经大学学报,(6):50-61.
段江娇、刘红忠、曾剑平,2017.中国股票网络论坛的信息含量分析[J].金融研究,(10):178-192.
方舟、倪玉娟、庄金良,2011.货币政策冲击对股票市场流动性的影响---基于Markov区制转换VAR模型的实证研究[J].金融研究,(7):43-56.
金德环、李岩,2017.投资者互动与股票收益---来自社交媒体的经验证据[J].金融论坛,(5):72-80.
刘锋、叶强、李一军,2014.媒体关注与投资者关注对股票收益的交互作用:基于中国金融股的实证研究[J].管理科学学报,17(1):72-85.
刘海飞、许金涛、柏巍,2017.社交网络、投资者关注与股价同步性[J].管理科学学报,20(2):53-62.
宋双杰、曹晖、杨坤,2011.投资者关注与IPO异象---来自网络搜索量的经验证据[J].经济研究,(s1):145-155.
苏冬蔚、熊家财,2013.股票流动性、股价信息含量与CEO薪酬契约[J].经济研究,(11):56-70.
王冰、潘琰,2017.新媒体披露对流动性的影响---来自微信的证据[J].华东经济管理,(10):143-150.
吴璇、田高良、司毅,2017.网络舆情管理与股票流动性[J].管理科学,(6):51-64.
熊家财、苏冬蔚,2014.股票流动性与企业资本配置效率[J].会计研究,(11):54-60.
徐飞、唐建新,2017.股指波动率、市场流动性与全球股市崩盘传染[J].金融论坛,(8):58-69.
俞庆进、张兵,2012.投资者有限关注与股票收益---以百度指数作为关注度的一项实证研究[J].金融研究,(8):152-165.
张益明,2012.产品市场势力、公司治理与股票市场流动性[J].国际金融研究,(3):85-95.
Amihud,Y.,2002.Illiquidity and Stock Returns:Cross-section and Time-series Effects[J].Journal of Financial Markets,5(1):31-56.
Amihud,Y.,Mendelson,H.,and Lauterbach,B.,1997.Market Microstructure and Securities Values:Evidence from the Tel Aviv Stock Exchange[J].Journal of Financial Economics,45(3):365-390.
Balduzzi,P.,Elton,E.J.,and Green,T.C.,2001.Economic News and Bond Prices:Evidence from the U.S.Treasury Market[J].Journal of Financial&Quantitative Analysis,36(4):523-543.
Barber,B.M.,and Odean,T.,2008.All That Glitters:The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors[J].Review of Financial Studies,21(2):785-818.
Bhushan,R.,1991.Trading Costs,Liquidity,and Asset Holdings[J].Review of Financial Studies,4(2):343-360.
Diamond,D.W.,and Verrecchia,R.E.,1987.Constraints on Short-selling and Asset Price Adjustment to Private Information[J].Journal of Financial Economics,18(2):277-311.
Ding,R.,and Hou,W.,2015.Retail Investor Attention and Stock Liquidity[J].Journal of International Financial Markets,Institutions and Money,37:12-26.
Easley,D.,Kiefer,N.M.,and O’Hara,M.,et al.,1996.Liquidity,Information,and Infrequently Traded Stocks[J].Journal of Finance,51(4):1405-1436.
Edmans,A.,Fang,V.W.,and Zur,E.,2013.The Effect of Liquidity on Governance[J].Review of Financial Studies,26(6):1443-1482.
Fang,L.,and Peress,J.,2009.Media Coverage and the Cross-section of Stock Returns[J].Journal of Finance,44(5):2023-2052.
Glosten,L.R.,1989.Insider Trading,Liquidity,and the Role of the Monopolist Specialist[J].Journal of Business,62(2):211-235.
Goyenko,R.Y.,Holden,C.W.,and Trzcinka,C.A.,2009.Do Liquidity Measures Measure Liquidity?[J].Journal of Financial Economics,92(2):153-181.
Goyenko,R.Y.,Ukhov,A.D.,2009.Stock and Bond Market Liquidity:A Long-Run Empirical Analysis[J].Journal of Financial&Quantitative Analysis,44(1):189-212.
Grullon,G.,Kanatas,G.,and Weston,J.P.,2004.Advertising,Breadth of Ownership,and Liquidity[J].Review of Financial Studies,17(2):439-461.
Kahneman,D.,and Tversky,A.,1979.Prospect Theory:An Analysis of Decision under Risk[J].Econometrica,47(2):263-291.
Kahneman,D,1973.Attention and Effort[M].New Jersey:Prentice-Hall.
Merton,R.C.,1987.A Simple Model of Capital Market Equilibrium with Incomplete Information[J].Journal of Finance,42(3):483-510.
Norli,Q.,Ostergaard,C.,and Schindele,I.,2015.Liquidity and Shareholder Activism[J].Review of Financial Studies,28(2):486-520.
Pagano,M.,and Roell,A.,1996.Transparency and Liquidity:A Comparison of Auction and Dealer Markets with Informed Trading[J].Journal of Finance,51(2):579-611.
Pastor,L.,and Stambaugh,R.F.,2003.Liquidity Risk and Expected Stock Returns[J].Journal of Political Economy,111(3):642-685.
Seasholes,M.S.,and Wu,G.,2007.Predictable Behavior,Profits,and Attention[J].Journal of Empirical Finance,14(5):590-610.
段江娇、刘红忠、曾剑平,2017.中国股票网络论坛的信息含量分析[J].金融研究,(10):178-192.
方舟、倪玉娟、庄金良,2011.货币政策冲击对股票市场流动性的影响---基于Markov区制转换VAR模型的实证研究[J].金融研究,(7):43-56.
金德环、李岩,2017.投资者互动与股票收益---来自社交媒体的经验证据[J].金融论坛,(5):72-80.
刘锋、叶强、李一军,2014.媒体关注与投资者关注对股票收益的交互作用:基于中国金融股的实证研究[J].管理科学学报,17(1):72-85.
刘海飞、许金涛、柏巍,2017.社交网络、投资者关注与股价同步性[J].管理科学学报,20(2):53-62.
宋双杰、曹晖、杨坤,2011.投资者关注与IPO异象---来自网络搜索量的经验证据[J].经济研究,(s1):145-155.
苏冬蔚、熊家财,2013.股票流动性、股价信息含量与CEO薪酬契约[J].经济研究,(11):56-70.
王冰、潘琰,2017.新媒体披露对流动性的影响---来自微信的证据[J].华东经济管理,(10):143-150.
吴璇、田高良、司毅,2017.网络舆情管理与股票流动性[J].管理科学,(6):51-64.
熊家财、苏冬蔚,2014.股票流动性与企业资本配置效率[J].会计研究,(11):54-60.
徐飞、唐建新,2017.股指波动率、市场流动性与全球股市崩盘传染[J].金融论坛,(8):58-69.
俞庆进、张兵,2012.投资者有限关注与股票收益---以百度指数作为关注度的一项实证研究[J].金融研究,(8):152-165.
张益明,2012.产品市场势力、公司治理与股票市场流动性[J].国际金融研究,(3):85-95.
Amihud,Y.,2002.Illiquidity and Stock Returns:Cross-section and Time-series Effects[J].Journal of Financial Markets,5(1):31-56.
Amihud,Y.,Mendelson,H.,and Lauterbach,B.,1997.Market Microstructure and Securities Values:Evidence from the Tel Aviv Stock Exchange[J].Journal of Financial Economics,45(3):365-390.
Balduzzi,P.,Elton,E.J.,and Green,T.C.,2001.Economic News and Bond Prices:Evidence from the U.S.Treasury Market[J].Journal of Financial&Quantitative Analysis,36(4):523-543.
Barber,B.M.,and Odean,T.,2008.All That Glitters:The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors[J].Review of Financial Studies,21(2):785-818.
Bhushan,R.,1991.Trading Costs,Liquidity,and Asset Holdings[J].Review of Financial Studies,4(2):343-360.
Diamond,D.W.,and Verrecchia,R.E.,1987.Constraints on Short-selling and Asset Price Adjustment to Private Information[J].Journal of Financial Economics,18(2):277-311.
Ding,R.,and Hou,W.,2015.Retail Investor Attention and Stock Liquidity[J].Journal of International Financial Markets,Institutions and Money,37:12-26.
Easley,D.,Kiefer,N.M.,and O’Hara,M.,et al.,1996.Liquidity,Information,and Infrequently Traded Stocks[J].Journal of Finance,51(4):1405-1436.
Edmans,A.,Fang,V.W.,and Zur,E.,2013.The Effect of Liquidity on Governance[J].Review of Financial Studies,26(6):1443-1482.
Fang,L.,and Peress,J.,2009.Media Coverage and the Cross-section of Stock Returns[J].Journal of Finance,44(5):2023-2052.
Glosten,L.R.,1989.Insider Trading,Liquidity,and the Role of the Monopolist Specialist[J].Journal of Business,62(2):211-235.
Goyenko,R.Y.,Holden,C.W.,and Trzcinka,C.A.,2009.Do Liquidity Measures Measure Liquidity?[J].Journal of Financial Economics,92(2):153-181.
Goyenko,R.Y.,Ukhov,A.D.,2009.Stock and Bond Market Liquidity:A Long-Run Empirical Analysis[J].Journal of Financial&Quantitative Analysis,44(1):189-212.
Grullon,G.,Kanatas,G.,and Weston,J.P.,2004.Advertising,Breadth of Ownership,and Liquidity[J].Review of Financial Studies,17(2):439-461.
Kahneman,D.,and Tversky,A.,1979.Prospect Theory:An Analysis of Decision under Risk[J].Econometrica,47(2):263-291.
Kahneman,D,1973.Attention and Effort[M].New Jersey:Prentice-Hall.
Merton,R.C.,1987.A Simple Model of Capital Market Equilibrium with Incomplete Information[J].Journal of Finance,42(3):483-510.
Norli,Q.,Ostergaard,C.,and Schindele,I.,2015.Liquidity and Shareholder Activism[J].Review of Financial Studies,28(2):486-520.
Pagano,M.,and Roell,A.,1996.Transparency and Liquidity:A Comparison of Auction and Dealer Markets with Informed Trading[J].Journal of Finance,51(2):579-611.
Pastor,L.,and Stambaugh,R.F.,2003.Liquidity Risk and Expected Stock Returns[J].Journal of Political Economy,111(3):642-685.
Seasholes,M.S.,and Wu,G.,2007.Predictable Behavior,Profits,and Attention[J].Journal of Empirical Finance,14(5):590-610.