摘要
基于百度指数关键词的网络搜索量是用来衡量投资者关注度的有效代理变量,投资者关注度的变化会对上证指数产生影响。本文基于VAR模型的实证研究发现:上证指数收益率受前期上证指数收益率和投资者关注度波动率的影响显著。投资者关注度波动率受到前期投资者关注度波动率的影响显著,前期上证指数收益率对其影响不显著。以不同关键词搜索量作为投资者关注度的代理变量作VAR模型选取的滞后期有所不同,但合理的关键词选取得到的最终结论类似。滞后1期的上证指数收益率和滞后1期、2期投资者关注度波动率对当期收益率有显著为正的影响,滞后2期的上证指数收益率对当期收益率有显著为负的影响。
Web search volume based on Baidu index keywords is an effective proxy variable used to measure investor attention.Changes in investor attention will have an impact on the Shanghai Stock Index.The empirical research based on the VAR model in this paper found that:the return of the Shanghai Securities Composite Index is significantly affected by the return of the Shanghai Securities Composite Index and the volatility of investor attention.The volatility of investor attention is significantly affected by the volatility of investor attention in the previous period,and the return of the Shanghai Securities Composite Index is not significant.The lag period of VAR model selection with different keyword search volume as the proxy variable of investor attention is different,but the final conclusions obtained by reasonable keyword selection are similar.The return rate of Shanghai Securities Composite Index with one period lag and the volatility of investors'attention in the first and second periods have a significant positive impact on the current return rate,while the return rate of the Shanghai Securities Composite Index with two lagging periods has a significant negative impact on the current return rate.
作者
李小飞
范晓静
LI Xiao-fei;FAN Xiao-jing(Business School,University of Shanghai for Science and Techndogy,Shanghai 200093,China)
出处
《科技与管理》
2020年第6期85-92,共8页
Science-Technology and Management
基金
上海市哲学社会科学规划一般课题项目(2017BJB013)
上海理工大学人文社科项目(SK18YB18)。
关键词
百度指数
网络搜索量
投资者关注度
VAR
上证指数
Baidu Index
online search volume
investor attention
VAR
Shanghai Securities Index Composite
