基于信息结构视角的网络论坛与股票市场之间信息传递关系研究被引量：1

An Information Structure Perspective:the Information Spillovers between Internet Forum and Stock Market in China

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摘要网络论坛与股票市场之间的信息传递关系对于研究市场信息效率具有积极意义,本文从论坛信息结构视角出发,研究两者之间的信息传递关系。结果表明论坛发帖量与股票市场收益率之间存在信息传递关系:日内发帖量与日内收益率之间存在相互的波动溢出,且由日内发帖量向日内收益率的单向波动溢出显著;隔夜发帖量向次日日内收益率的单向波动溢出显著;仅存在隔夜收益率向日内发帖量的单向波动溢出。此外,网络论坛发帖量和股票市场收益率之间的时变相关系数与情绪倾向变量正相关,与意见差异变量负相关。 The information spillover effects between the internet forum and stock market is important to market efficiency. This paper investigates these information spillovers between the internet forum postings and stock market return from an information structure perspective. We find that： there are information spillovers effects between internet forum postings and stock market returns. This holds for the intraday information spillovers, especially from the intraday internet forum postings to the intraday stock market return;the overnight information spillovers, especially from the overnight internet forum postings to the following day＇s intraday stock market return, can be identified; we only find evidence of a spillover from the previous day＇s overnight stock market return to the intraday internet forum postings; the dynamic correlation coefficient is positive under inter - day settings, and is negative under overnight setting. The proxy for sentiment has a significant positive correlation with the information spillovers, whilst the disagreement proxy is negatively related to the information spillovers.

作者姜杨闫相斌

机构地区哈尔滨工业大学管理学院

出处《南方经济》 CSSCI 北大核心 2015年第11期36-52,共17页 South China Journal of Economics

基金国家自然科学基金(71171067 71531013)的资助

关键词波动溢出信息传递日内收益率隔夜收益率 BEKK-GARCH Volatility spillovers Information transmission Interday return Overnight return

分类号 F830.9 [经济管理—金融学]

作者简介闫柏斌，哈尔滨工业大学管理学院教授，E-mail：xbyan@hit．edu．cn，通讯地址：黑龙江店哈尔滨市南岗区法院街13号，邮编：150001 姜杨，哈尔滨工业大学管理学院博士研究生，E-mail：jiangyanghit@126．com

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