社会化媒体对股票与期货市场的影响研究

The news media and investor attention to the stocks and futures markets is one of the most important factors affecting the financial market fluctuation. Against the background of rapid development of social media, with the Internet as a carrier, a correct understanding of the relationship between the media and investor attention and financial market fluctuations is not only of great theoretical significance, but also of great value for stock investors and financial supervision institution. However, the existing research at home and abroad mainly places emphasis on simple direct correlation during the analysis of the media attention and the financial market, lacking in-depth analysis of such influence mechanisms as relevant moderating factors, and there exists different views on the attribution study of media effect. Although in-depth achievements have been obtained in terms of investor attention, it is usually analyzed separately, without considering the media attention. The correlation between investor attention and the media attention hasn't been found, so the role in media effect has been neglected, resulting in the failure to have a deep understanding of the mechanism of media effect. In this article, the world’s largest Chinese search engine is used to collect data related to the media attention and investors attention. Based on Shanghai & Shenzhen 300 Index component stocks data, the influencing mechanism of social media on the stock markets and stock index futures market's fluidity and volatility would be deeply investgated by utilization of signalling theory and agenda-setting theory .

现有研究表明投资者及新闻媒体对股票及期货市场的关注是影响相应市场波动的重要因素。在当前以互联网为载体的社会媒体迅速发展的背景下,正确理解网络社会媒体与股票、期货市场波动的关系，不仅具有重要的理论意义,对监管机构和投资者也具有十分重要的应用价值。该领域的多数研究在分析媒体关注度与金融市场波动关系时,仅关注了简单的直接相关关系,对更深层次的复杂关联机制尚缺乏深入分析,对媒体效应的产生的原因尚未形成统一的认识。同时现有研究也忽视了媒体关注度对投资者关注度的影响,没有发现媒体关注度与投资者关注度在影响股票、期货收益过程中的交互作用。社会媒体如何影响指数期货市场则尚未开始。本研究拟以沪深300指数成分股为样本,基于全球最大的中文搜索引擎百度网采集媒体关注度和投资者关注度数据,引入传播学中的议程设置理论和信息学中的信息搜索理论,深入地研究社会传媒对我国股票市场和股指期货市场流动性、波动性的影响机制。

该研究面向社会化媒体,以股票市场、农产品期货市场、沪深300指数成分股为样本,基于全球最大的中文搜索引擎百度网采集媒体关注度和投资者关注度数据，引入传播学中的议程设置理论和信息学中的信息搜索理论,深入地研究社会化传媒对股票市场和股指期货市场影响机制。该研究探讨投资者交易行为与互联网搜索行为对市场收益的影响等问题。结果表明，交易者搜索行为本身对期货市场收益率没有影响，市场的趋势与搜索量的交互作用对股指期货市场有显著影响，当市场上涨时异常搜索量增加引起期货价格过高估计，当期价格上涨，而当市场下跌时异常搜索量增加反而引起期货价格被低估，当期价格下跌，且这种过高估计（低估）现象在短期内会出现价格反转现象；在互联网搜索量对资产价格的影响中，来自PC的搜索起到了决定性的作用，而来自移动端的搜索更多的表现为噪声交易，其对资产价格并没有显著影响；期货市场在面临大幅的市场价格移动时仍然缺少快速恢复的韧性，其原因是投资者的投机行为所引起的从众行为与羊群效应所致。该研究进一步深入探讨在社会化交易中，传统行为金融学理论如短效应、处置效应等是否会被社会化交易方式影响。该领域研究证明传统金融理论正在面对高科技发展进步的挑战，地球不再是圆的，而是越来越扁平化发展，在金融科技领域有重要影响。该研究的成果在国内外主流学术期刊和主流国际学术会议发表了5篇学术论文，其中SSCI/SCI检索4篇。培养博士研究生3人，硕士研究生3人。