管理评论

管理评论 ›› 2021, Vol. 33 ›› Issue (2): 68-76.

• 经济与金融管理 • 上一篇    下一篇

严监管布局下中小投资者有限注意力与股市指数的非线性研究

王菡1, 彭赓1, 李家琳2, 吕本富1   

  1. 1. 中国科学院大学经济与管理学院, 北京 100190;
    2. 中国信息通信研究院信息化与工业化融合研究所工程师, 北京 100191
  • 收稿日期:2020-05-23 出版日期:2021-02-28 发布日期:2021-03-08
  • 通讯作者: 彭赓(通讯作者),中国科学院大学经济与管理学院教授,博士生导师,博士
  • 作者简介:王菡,中国科学院大学经济与管理学院博士研究生;李家琳,中国信息通信研究院信息化与工业化融合研究所工程师,硕士;吕本富,中国科学院大学经济与管理学院教授,博士生导师,博士。
  • 基金资助:
    国家自然科学基金面上项目（71972174）；国家自然科学基金重点项目（71532013）。

The Non-linear Correlation between the Limited Attention of Medium and Small Investors and the Stock Market Index in a Stringent Regulatory Environment

Wang Han1, Peng Geng1, Li Jialin2, Lv Benfu1   

  1. 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
    2. The Research Institute of Informatization and Industrialization Integration, China Academy of Information and Communications Technology, Beijing 100191
  • Received:2020-05-23 Online:2021-02-28 Published:2021-03-08

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摘要： 本文采用实证方法研究了严监管布局前后，中小投资者在不同方面的信息所分配的注意力与中国股市行情指标之间的相关性，并在此基础上构建了非线性模型从有限注意力的角度对严监管布局之后中国股市行情出现的异常现象进行分析，发现模型的解释程度达到75%。本文发现，在严监管布局前后有限注意力与股市行情指标的相关性发生了显著的变化，不同方面的有限注意力对股市的影响不同。不同方面的有限注意力对股市异象的作用路径不同，特别是分配在监管政策方面的注意力的调节作用同股市异象高度相关。

关键词: 监管政策, 有限的注意力, 股票市场, 百度搜索指数

Abstract: This paper uses empirical methods to study the correlation between the attention of small and medium-sized investors paid to different aspects of information and the Chinese stock market indicators before and after the strict regulatory layout. On this basis, a nonlinear model is constructed. From the perspective of limited attention, the abnormal phenomenon of the Chinese stock market after the strict supervision layout is analyzed. It is found that the interpretation degree of the model reaches 75%. We find that the correlation between limited attention and stock market indicators before and after strict regulatory layout has changed significantly. The limited attention of different aspects has different effects on the stock market. The limited attention of different aspects has different paths to the abnormal fluctuation of stock market, especially the adjustment of attention paid to regulation policy is highly relevant to the abnormal fluctuation of stock market.

Key words: regulatory policy, limited attention, stock market, Baidu search index