互联网社交媒体对投资者情绪传染与股价崩盘风险的影响机制
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摘要
利用中国A股上市公司的股吧发帖数据,用发帖情绪衡量投资者情绪,用帖子阅读量和跟帖评论量衡量情绪传染程度,探究了互联网社交媒体在投资者情绪传染中的作用以及对股价崩盘风险的影响。结果表明:投资者的发帖情绪越乐观,未来股价崩盘风险越高,这种现象源自乐观情绪在股吧的传播扩散,而机构投资者持股会加剧这种效应;社交媒体等互联网技术的发展会助长投资者情绪的蔓延并引起股价崩盘。
With the web crawler method,this paper collects the discussion data from stock BBS from 2012 to 2015.It uses the discussion sentiment as the proxy of investors' sentiment,and uses the number of reading and comments as the proxy of sentiments' contagion,and investigates the effect of social media on the contagion of investors' sentiment and stock price crash.The result shows as follows:stock price crash is positively correlated with the contagion of investors' sentiment,and institutional investor intensifies this effect;social media like stock BBS will transmit investors' sentiment,and thus lead to stock price crash.
With the web crawler method,this paper collects the discussion data from stock BBS from 2012 to 2015.It uses the discussion sentiment as the proxy of investors' sentiment,and uses the number of reading and comments as the proxy of sentiments' contagion,and investigates the effect of social media on the contagion of investors' sentiment and stock price crash.The result shows as follows:stock price crash is positively correlated with the contagion of investors' sentiment,and institutional investor intensifies this effect;social media like stock BBS will transmit investors' sentiment,and thus lead to stock price crash.
引文
[1]HONG H,STEIN J C.Differences of opinion,short-sales constraints,and market crashes[J].Review of Financial Studies,2003,16(2):487-525.
[2]许年行,于上尧,伊志宏.机构投资者羊群行为与股价崩盘风险[J].管理世界,2013(7):31-43.
[3]刘桂荣,颜梦雅,金永红.对投资者情绪与股市崩盘风险关系的检验[J].财会月刊,2017(5):39-46.
[4]BOWMAN B S,WILLIS C.How audiences are shaping the future of news and information[M].The Media Center at the American Press Institute(2003),2015.
[5]南晓莉.新媒体时代网络投资者意见分歧对IPO溢价影响——基于股票论坛数据挖掘方法[J].中国软科学,2015(10):155-165.
[6]高平,黄文雄,凌鸿.互联网理财产品可投资剩余时间的饥饿效应——基于L互联网金融平台投资行为数据的实证研究[J].技术经济,2018,37(1):106-111.
[7]BLANKESPOOR E,MILLER G S,WHITE H D.The role of dissemination in market liquidity:evidence from firms'use of twitter[J].The Accounting Review,2014,89(1):79-112.
[8]胡军,王甄.微博、特质性信息披露与股价同步性[J].金融研究,2015(11):190-206.
[9]韩立岩,伍燕然.投资者情绪与IPOs之谜——抑价或者溢价[J].管理世界,2007(3):51-61.
[10]张宗新,王海亮.投资者情绪、主观信念调整与市场波动[J].金融研究,2013(4):142-155.
[11]花贵如,刘志远,许骞.投资者情绪、企业投资行为与资源配置效率[J].会计研究,2010(11):49-55.
[12]CLIFF M T,BROWN G W.Investor sentiment and the near-term stock market[Z].SSRN working paper,2011.
[13]SHILLER R J.Comovements in stock prices and comovements in dividends[J].The Journal of Finance,1989,44(3):719-730.
[14]ZOUAOUI M,NOUYRIGAT G,BEER F.How does investor sentiment affect stock market crises?evidence from panel data[J].Financial Review,2011,46(4):723-747.
[15]金雪军,祝宇,杨晓兰.网络媒体对股票市场的影响——以东方财富网股吧为例的实证研究[J].新闻与传播研究,2013(12):36-51.
[16]杨晓兰,沈翰彬,祝宇.本地偏好、投资者情绪与股票收益率:来自网络论坛的经验证据[J].金融研究,2016(12):143-158.
[17]BAKER M,STEIN J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[18]杨德林,胡晓,冯亚.互联网应用与创业绩效:社会资本的中介作用[J].技术经济,2017,36(4):53-62.
[19]曹丰,鲁冰,李争光,等.机构投资者降低了股价崩盘风险吗?[J].会计研究,2015(11):55-61.
[20]董大勇,肖作平.证券信息交流家乡偏误及其对股票价格的影响:来自股票论坛的证据[J].管理世界,2011(1):52-61.
[21]TETLOCK P C,SAAR-TSECHANSKY M,MACSKASSY S.More than words:quantifying language to measure firms'fundamentals[J].The Journal of Finance,2008,63(3):1437-1467.
[22]LOUGHRAN T,MCDONALD B.When is a liability not a liability?Textual analysis,dictionaries,and 10‐ks[J].The Journal of Finance,2011,66(1):35-65.
[23]汪昌云,武佳薇.媒体语气、投资者情绪与IPO定价[J].金融研究,2015(9):174-189.
[24]才国伟,邵志浩,徐信衷.企业和媒体存在合谋行为吗?——来自中国上市公司媒体报道的间接证据[J].管理世界,2015(7):158-169.
[25]HUTTON A P,MARCUS A J,TEHRANIAN H.Opaque financial reports,R2,and crash risk[J].Journal of Financial Economics,2009,94(1):67-86.
[26]KIM J B,LI Y,ZHANG L.CFOs versus CEOs:equity incentives and crashes[J].Journal of Financial Economics,2011,101(3):713-730.
[27]LEVINSON A.Valuing public goods using happiness data:the case of air quality[J].Journal of Public Economics,2012,96(9):869-880.
[28]郭永济,张谊浩.空气质量会影响股票市场吗?[J].金融研究,2016(2):71-85.
[29]万孝园,陈欣.雾霾对中国股市收益的影响[J].投资研究,2016(1):81-94.
(1)“千股跌停”指当日A股跌停股票数量至少超过900。
(2)当日停牌股票名单和数量来自证券时报网。
(3)2015年8月24日,A股盘后美国三大股票指数---标普500指数、纳斯达克指数、道琼斯工业指数的股指期货“熔断”,美国三大交易所均暂停交易。
(1)由于以往研究多关注新闻媒体情绪倾向,而新闻媒体与自媒体信息生产者迥异,自媒体信息由投资者发布,因此其看多与看空情绪的衡量须由投资者来实现。本文找到20个不同学科背景和年龄阶段的散户投资者,让他们各写出20个描述“看多”和“看空”的词,然后从中选取重叠的词汇作为关键词,对股吧发帖内容进行筛选。在选取过程中,采用模糊匹配的方法,例如“买”“买入”“大买”“不卖”等均算作同一个词“买”。
[2]许年行,于上尧,伊志宏.机构投资者羊群行为与股价崩盘风险[J].管理世界,2013(7):31-43.
[3]刘桂荣,颜梦雅,金永红.对投资者情绪与股市崩盘风险关系的检验[J].财会月刊,2017(5):39-46.
[4]BOWMAN B S,WILLIS C.How audiences are shaping the future of news and information[M].The Media Center at the American Press Institute(2003),2015.
[5]南晓莉.新媒体时代网络投资者意见分歧对IPO溢价影响——基于股票论坛数据挖掘方法[J].中国软科学,2015(10):155-165.
[6]高平,黄文雄,凌鸿.互联网理财产品可投资剩余时间的饥饿效应——基于L互联网金融平台投资行为数据的实证研究[J].技术经济,2018,37(1):106-111.
[7]BLANKESPOOR E,MILLER G S,WHITE H D.The role of dissemination in market liquidity:evidence from firms'use of twitter[J].The Accounting Review,2014,89(1):79-112.
[8]胡军,王甄.微博、特质性信息披露与股价同步性[J].金融研究,2015(11):190-206.
[9]韩立岩,伍燕然.投资者情绪与IPOs之谜——抑价或者溢价[J].管理世界,2007(3):51-61.
[10]张宗新,王海亮.投资者情绪、主观信念调整与市场波动[J].金融研究,2013(4):142-155.
[11]花贵如,刘志远,许骞.投资者情绪、企业投资行为与资源配置效率[J].会计研究,2010(11):49-55.
[12]CLIFF M T,BROWN G W.Investor sentiment and the near-term stock market[Z].SSRN working paper,2011.
[13]SHILLER R J.Comovements in stock prices and comovements in dividends[J].The Journal of Finance,1989,44(3):719-730.
[14]ZOUAOUI M,NOUYRIGAT G,BEER F.How does investor sentiment affect stock market crises?evidence from panel data[J].Financial Review,2011,46(4):723-747.
[15]金雪军,祝宇,杨晓兰.网络媒体对股票市场的影响——以东方财富网股吧为例的实证研究[J].新闻与传播研究,2013(12):36-51.
[16]杨晓兰,沈翰彬,祝宇.本地偏好、投资者情绪与股票收益率:来自网络论坛的经验证据[J].金融研究,2016(12):143-158.
[17]BAKER M,STEIN J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[18]杨德林,胡晓,冯亚.互联网应用与创业绩效:社会资本的中介作用[J].技术经济,2017,36(4):53-62.
[19]曹丰,鲁冰,李争光,等.机构投资者降低了股价崩盘风险吗?[J].会计研究,2015(11):55-61.
[20]董大勇,肖作平.证券信息交流家乡偏误及其对股票价格的影响:来自股票论坛的证据[J].管理世界,2011(1):52-61.
[21]TETLOCK P C,SAAR-TSECHANSKY M,MACSKASSY S.More than words:quantifying language to measure firms'fundamentals[J].The Journal of Finance,2008,63(3):1437-1467.
[22]LOUGHRAN T,MCDONALD B.When is a liability not a liability?Textual analysis,dictionaries,and 10‐ks[J].The Journal of Finance,2011,66(1):35-65.
[23]汪昌云,武佳薇.媒体语气、投资者情绪与IPO定价[J].金融研究,2015(9):174-189.
[24]才国伟,邵志浩,徐信衷.企业和媒体存在合谋行为吗?——来自中国上市公司媒体报道的间接证据[J].管理世界,2015(7):158-169.
[25]HUTTON A P,MARCUS A J,TEHRANIAN H.Opaque financial reports,R2,and crash risk[J].Journal of Financial Economics,2009,94(1):67-86.
[26]KIM J B,LI Y,ZHANG L.CFOs versus CEOs:equity incentives and crashes[J].Journal of Financial Economics,2011,101(3):713-730.
[27]LEVINSON A.Valuing public goods using happiness data:the case of air quality[J].Journal of Public Economics,2012,96(9):869-880.
[28]郭永济,张谊浩.空气质量会影响股票市场吗?[J].金融研究,2016(2):71-85.
[29]万孝园,陈欣.雾霾对中国股市收益的影响[J].投资研究,2016(1):81-94.
(1)“千股跌停”指当日A股跌停股票数量至少超过900。
(2)当日停牌股票名单和数量来自证券时报网。
(3)2015年8月24日,A股盘后美国三大股票指数---标普500指数、纳斯达克指数、道琼斯工业指数的股指期货“熔断”,美国三大交易所均暂停交易。
(1)由于以往研究多关注新闻媒体情绪倾向,而新闻媒体与自媒体信息生产者迥异,自媒体信息由投资者发布,因此其看多与看空情绪的衡量须由投资者来实现。本文找到20个不同学科背景和年龄阶段的散户投资者,让他们各写出20个描述“看多”和“看空”的词,然后从中选取重叠的词汇作为关键词,对股吧发帖内容进行筛选。在选取过程中,采用模糊匹配的方法,例如“买”“买入”“大买”“不卖”等均算作同一个词“买”。