文献类型：期刊文献

中文题名：股吧个体信息交互对股价联动关系的影响研究

英文题名：Impact of interaction of individual stock bar information on stock price co-movement

作者：陈张杭健[1];吴粤[2];李世炳[3];任飞[1]

机构：[1]华东理工大学商学院,上海200237;[2]华东理工大学信息科学与工程学院,上海200237;[3]中央研究院物理研究所,中国台北11529

年份：2021

卷号：24

期号：5

起止页码：47

中文期刊名：管理科学学报

外文期刊名：Journal of Management Sciences in China

收录：CSTPCD;;北大核心:【北大核心2020】；CSCD:【CSCD2021_2022】；CSSCI:【CSSCI2021_2022】；

基金：国家自然科学基金资助项目(71790594,71871094);教育部人文社会科学研究资助项目(17YJAZH067).

语种：中文

中文关键词：股吧;信息扩散;信息交互;股价联动;复杂网络

外文关键词：stock bar;information diffusion;information interaction;stock price comovement;complex network

摘要：以往股价联动的影响因素研究主要基于社会嵌入理论,认为机构持股等上市公司社会关系的信息扩散功能是重要因素之一.但中国沪深股票市场中小投资者居多,个体投资者在社交媒体上的信息交互行为对股市联动性的影响日益凸显.采用东方财富网股吧用户数据,基于有效信息理论和社会嵌入理论,深入探讨微观个体行为对股价联动的影响.研究结果表明:在基于信息交互行为构造的信息扩散网络中,连边的权重越大,对应股票间的价格相关系数越大;社交媒体中个体大量、频繁的发帖或回帖等信息交互行为,可以促进股票信息扩散,从而影响股价联动关系;此外,个体的信息流量对股价联动具有预测作用.上述结论表明基于个体信息交互行为的股票信息扩散,是影响股价联动的另一重要因素.该结论有助于深化对股票市场风险传导根本原因的认识,为我国沪深股票市场的风险管理提供理论指导.
Previous research on the influencing factors of stock price co-movement,based mainly on the theory of Social Embeddedness,suggested that the information diffusion function of listed companies'social relations,such as Institutional Ownership,is one important factor.There are a large number of individual investors in Chinese stock market,where the impact of information interaction among individual investors through social media on stock price co-movement is becoming increasingly prominent.Using the data from Eastmoney,this paper investigates the impact of individual investor behavior on stock price co-movement from a more microscopic perspective,based on the Effective Information Theory and the Social Embedding Theory.The empirical results show that the higher the weight of edges in the information diffusion network,which is based on information interaction,the greater the correlation coefficient between stock prices.Furthermore,massive and frequent posts or replies by users through social media can promote the spread of stock information,thus affecting stock price co-movement.In addition,the information flow generated by individuals has a predictive effect on stock price co-movement.The above results show that stock information diffusion through individual information interaction is another important factor affecting stock price co-movement.The conclusion is helpful in deepening the understanding of the underlying causes of risk conduction in the stock market and provides theoretical guidance for risk management in Chinese stock market.