摘要
信息的不断丰富导致了投资者注意力的稀缺,投资者关注度成为影响金融市场的一个重要因素。搜索引擎在发挥检索信息作用的同时也将投资者的搜索行为记录下来,是一种直接而比较精确的投资者关注度衡量指标。文章以百度指数作为投资者有限关注度的替代变量,以其与股票收益之间的关系为主线,深入研究了投资者有限关注与股票收益间的相关性,以及周末效应和反转效应。研究发现,投资者关注和股票的市场表现之间是双向引导的关系,投资者在周末对股票的关注对下周一股票价格跳跃和收益率的跳跃都有显著的正向影响,我国投资者关注对股票收益的影响存在短期和长期的反转效应。
Information enrichment has led to the scarcity of investors’ attention, so investors’ attention has become an important factor which influences the financial market. Search engines, which plays the role of searching information, also can record the search behaviors of investors. So it can be defined as a direct and accurate measurement of investor attention. This article takes Baidu Index as an alternative variable of investor’s limited attention degree and its relationship with stock returns as the main line, and deeply studies the correlation between investors’ limited attention and stock returns, as well as the weekend effect and reversal effect. The study finds that the relationship between investors’ attention and the market performance of stocks is a relationship of two-way guidance. Investors’ attention to stocks at this weekend has a significant positive effect on the jumps in stock prices and yields on the next Monday. And the investors’ attention has short-term and long-term reversal effects on stock returns.
作者
谢明柱
XIE Ming-zhu(Accounting and Finance Institute of Anhui Xinhua University,Anhui Hefei 23008)
出处
《江南大学学报（人文社会科学版）》
2018年第5期101-108,共8页
Journal of Jiangnan University：Humanities & Social Sciences Edition
基金
2018年安徽省人文社科重点项目(SK2018A0651)
安徽新华学院2017年校级科研资助项目(2017rw013)
安徽新华学院2017年校级教材建设资助项目(2017zbjc004)
关键词
投资者关注
百度指数
股票收益
investors’ attention
Baidu index
stock returns
