互联网开源信息对股票市场行为影响的研究

In the stock market, the investors heavily rely on stock information to trade. Stock information serves as a sort of catalyst to connect the investors with the activities of investors on the stock market. Various kinds of information are disseminated to the stock market every day, influencing the psychology of investors and motivating them to make decisions trade. However, the advent of the "Web 2.0", with the characteristics of participatory information sharing, interoperability, user-centered design and collaborative, has changed the flow of and access to information and the influence of information on the pricing dynamics of the stock market..This research will examine the dynamics relationship between the Internet open source information (stock forum, e-mail, blog, microblog and renren etc.) and the behavior of stock market (return rate, volatility and trading volume etc.) in China; search for the financial economics theories to explain the underlying relationship on the stock market institutions and investors behavior level; provide scientific theory foundations for the exchanges and CSRC (China Securities Regulatory Commission) on the anti-insider trading and anti-market manipulation and crucial techniques on data mining.

股票市场上，投资者十分依赖其所获得的信息进行交易。股票信息作为一种"催化剂"连接着投资者及其在股票市场上的活动，而股票市场上每天都充斥着大量不同的信息，影响着投资者的心理活动和交易行为。传统的信息传递渠道是单向的，信息提供者与接受者截然分开。然而，伴随着具有参与者信息共享性和互通性、以用户为中心及合作性特点的web 2.0时代的到来，股票市场的信息内容产生与传播的方式及其对价格动态的影响都发生了巨大的变革。.本研究拟发现中文互联网开源信息（股票论坛、邮件、博客、微博、bbs、人人网等等）与股票市场行为（股票收益率、波动性、成交量等）间的动态关系；并从股票市场制度与投资者行为层面，找出这种关系的金融经济学解释。这将为交易所、证监会等监管部门利用开源信息反内幕交易与反市场操纵提供科学的理论依据与数据挖掘的关键技术方法支持。

本研究发现了中文互联网开源信息与股票市场行为（股票收益率、波动性、成交量等）间的动态关系；并从股票市场制度与投资者行为层面，找出这种关系的金融经济学解释。将为交易所、证监会等监管部门利用开源信息反内幕交易与反市场操纵提供科学的理论依据与数据挖掘的关键技术方法。.截至目前，共发表论文SSCI一篇（Economic Modelling）、SCI一篇（Physica A: Statistical Mechanics and Its Applications）以及国家自然科学基金委员会管理科学部认定的管理类重要期刊一篇（《系统工程理论与实践》），还有在投到Journal of Banking & Finance、Quantitative Finance、Economic Modelling以及Applied Economics Letters等6篇工作论文。受基金项目支持参加第十二届金融系统工程与风险管理国际年会、the 19th Annual Workshop on the Economic Science with Heterogeneous Interacting Agents以及the 21st Computing in Economics and Finance等国内外重要学术会议4次。