摘要
与常见的从宏观、中观、微观三个层面解释市场波动的文献相比，本文重点考虑了突发事件与股市波动的关系。突发事件主要通过影响投资者情绪作用于股票市场，为克服投资者关注度难以测度的难题，本文利用百度指数提供的搜索量数据，构建了衡量投资者对突发事件关注度的指标。研究结果表明，突发事件关注度对股市波动具有良好的解释力，事件关注度指数每上升1个百分点，股价向下波动0．017个百分点。此外，本文进一步分析了基于网络搜索数据的突发事件对股市冲击的周期，发现该影响的半衰期约为8～9天，影响程度成边际递减趋势，影响时长约为2个月。
In the past, many researches explained stock market volatility from three levels including macro level, meso level and micro level. Compared with those traditional studies,in this paper,we focused on the relationship between emergencies and stock market volatility. Based on the previous study, it could be found that the investor attention plays an important role in the relationship between of emergencies and stock market. In the previous study, how to measure the investors＇ attention has always been a hot topic and draws many researchers＇ attention, whereas most of traditional methods were using some trading data or investigation data to build investor attention index. In this paper, we proposed a novel method to measure investors＇ attention. Since the web search data could reflect the trends of investors＇ behavior and include hundreds of millions of users＇ concerns and interests on emergencies and the demand for stocks trading , we then employed search engine data to construct investors＇ attention in- dex. Comparing the traditional data source,web data has obvious advantages in easy to obtain, volume is large, and cost is low. Therefore,we build a direct measure of investor attention for emergencies by using search volume data provided by Baidu Index. In this paper,we proposed two main studies, one is to measure the impact strength of sig- nificant negative event, another is to analyze the time last of this kind of impact. Firstly, we establish a theoretical framework to illustrate the relationship between significant emergencies affect the fluctuation of stock market as well as mechanism of web search data capturing users＇ attention of such big negative event. It is well known the occur- rence of this accident would influence the performance of enterprises, industries and macroeconomic, as well as in- vestors＇ expectation, and then, the investors and institutes would surf the internet to get more information through search engine, social network as well as web forums. Based on the information th
出处
《经济管理》
CSSCI
北大核心
2014年第2期147-158,共12页
Business and Management Journal ( BMJ )
基金
国家自然科学基金项目"信息不对称程度的量化研究--基于电子商务市场交易数据的实证分析"(70972104)
国家自然科学基金项目"电子商务交易动力机制研究"(70772103)
国家自然科学基金项目"基于网络搜索数据的电子商务交易量预测研究--以3C产品为例"(71172199)
