摘要
互联网技术变革了人类的信息交流模式,股吧等互联网社交媒体为投资者之间的相互交流提供了工具。本文基于网络爬虫的方法搜集的A股股吧发帖数据研究发现,投资者在社交媒体上的信息交流降低了股价同步性;这一作用随新闻媒体报道数量的增加而更强,且在2013年最高法院对互联网虚假诽谤信息进行法律层面的管制后更强。本文表明:社交媒体作为投资者之间的交流工具,可以增进投资者对信息的理解,有助于提高资本市场定价效率。
Intemet has revolutionized the mode of human information exchange, while internet social media such as stock message board provides investors a tool to communicate with each other. Based on the method of web crawling, we collect the posts on stock message board of Chinese listed companies. We find that, information exchange among investors in social media can help to reduce the price synchronization. This effect is stronger when there is more traditional media coverage, and is also stronger after 2013 when the Supreme Court enacted a judicial interpretation to restrict the false internet messages. This paper shows that social media, as a communication tool among investors, can increase investors＇ understanding of information and help to improve the pricing efficiency of capital markets.
出处
《投资研究》
CSSCI
北大核心
2018年第4期140-157,共18页
Review of Investment Studies
基金
国家自然科学基金项目(项目号:71472101)对本研究的资助
关键词
社交媒体
信息可理解性
股价同步性
资本市场效率
Social Media
Information Readability
Stock Price Synchronicity
Capital Market Efficiency
