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数字交互媒体和股票表现的直接互动:来自Panorama的证据
Jinshui Huang1, Jun Wang1, Xiaoman Jin2
1School of Management Science and Engineering, Southwestern University of Finance and Economics, Chengdu, Sichuan, China.
PloS one
|May 28, 2024
概括
与投资者的问题不同,公司对数字交互媒体 (DIM) 的回应显著影响股价. 这一发现证实了行为金融原则,特别是短期股票表现.
科学领域:
- 金融市场是金融市场.
- 行为金融是行为金融.
- 自然语言处理 (NLP) 是一种自然语言处理.
背景情况:
- 数字交互媒体 (DIM) 是投资者了解中国上市公司的关键道.
- DIM促进公司和投资者之间的直接互动,影响投资决策.
- 在DIM中大量的问答数据需要NLP进行分析.
研究的目的:
- 使用NLP解构DIM问答数据.
- 提取影响股票价格和表现的因素.
- 探索DIM对股票表现的影响机制.
主要方法:
- 网络抓取从2015年到2021年收集约11万个问答文本.
- 大数据文本分析和情绪量化.
- 多重线性回归 (MLR) 用于机制探索.
主要成果:
- 投资者质疑情绪没有显著影响股票表现.
- 上市公司的回答的情绪和态度显著影响了股票价格.
- 这种影响在当前和下一个交易日最明显.
结论:
- 公司在DIM中的回应是股票价格波动的关键驱动因素.
- 这些发现支持行为金融中的近似因果关系.
- 坚固性,内质性和异质性测试验证了这些结论.
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