上证“e互动”对市场信息效率影响及机制研究被引量：8

Research on the Influence and Mechanism of the SSE E-Interaction on the Market Information Efficiency

导出

摘要本文首先以深交所上市公司为参照,利用双重差分(DID)模型证明了2013年上证"e互动"的上线与之后沪市市场信息效率提升存在显著的因果关系。然后,我们对上证"e互动"提升市场信息效率的机制从两方面进行了探索。一方面,本文改进了互联网沟通互动性水平的度量,在沟通信息数量的基础上加入了沟通的及时性。发现沟通的互动性水平对信息效率的提升有着显著的作用;另一方面,我们采用文本向量化的方法,对沟通文本的信息质量进行了度量,发现沟通的信息质量对市场信息效率也存在正面的作用。并且,沟通的互动性和信息质量的交互效应对市场信息效率有着稳健而显著的正向影响。以上实证结果表明,监管者不仅可以鼓励上市公司利用上证"e互动"平台为投资者提供充分与及时的回复,还可以激励上市公司回复更多公司所特有的信息来提升市场的信息效率。 This paper uses the listed companies of Shenzhen Stock Exchange as a reference,and uses the double difference(DID)model to prove that there is a significant causal relationship between the launch of the SSE E-Interaction in 2013 and the subsequent improvement of information efficiency in Shanghai stock market.Then,we explore the mechanism of the SSE EInteraction to improve the market information efficiency from two aspects.On the one hand,it improves the measurement of Internet communication interaction level,and adds the timeliness of communication based on the amount of communication information,and finds that the interactive level of communication has a significant effect on the improvement of information efficiency.On the other hand,this paper uses the method of text vectorization to measure the information quality of communication texts,and finds that the information quality of communication also has a positive effect on the market information efficiency.Moreover,the interaction of communication and information quality has a steady and significant positive impact on market information efficiency.The above empirical results show that regulators can not only encourage listed companies to use the platform of the SSE E-Interaction to provide sufficient and timely responses for investors,but also encourage listed companies to reply more unique information to more companies to improve the information efficiency of the market.

作者周耿周舟范从来 ZHOU Geng;ZHOU Zhou;FAN Cong-lai(Nanjing University,Nanjing 210093)

机构地区南京大学经济学系

出处《上海经济研究》 CSSCI 北大核心 2020年第2期110-121,共12页 Shanghai Journal of Economics

基金教育部“创新团队发展计划”滚动支持项目(项目编号:IRT_17R52)阶段性成果之一.

关键词上证“e互动” 市场信息效率文本向量化互动性信息质量 SSE E-Interaction Market Information Efficiency Text Vectorization Interaction Informative Quality

分类号 F832.51 [经济管理—金融学]

作者简介周耿(1980-),男,江西湖口人,南京大学经济学系,博士,副教授,研究方向:经济大数据与实验经济学;周舟(1996-),男,江苏淮安人,南京大学经济学系,硕士研究生,研究方向:政治经济学;范从来(1962-),男,江苏海安人,南京大学经济学系,博士,教授,研究方向:货币经济学。