管理评论

管理评论 ›› 2022, Vol. 34 ›› Issue (12): 3-15.

• 经济与金融管理 •    下一篇

网络社会互动与金融市场参与——来自某互联网证券交易平台的证据

吴淑萍1, 姚壮2   

  1. 1. 北京交通大学经济管理学院, 北京 100044;
    2. 清华大学五道口金融学院, 北京 100083
  • 收稿日期:2020-12-02 出版日期:2022-12-28 发布日期:2023-01-16
  • 作者简介:吴淑萍,北京交通大学经济管理学院讲师,博士;姚壮,清华大学五道口金融学院,硕士。
  • 基金资助:
    国家自然科学基金青年项目(72004008);中国博士后科学基金面上项目(2020M670120)。

Online Social Interaction and Financial Market Participation: Evidence from an Online Securities Trading Platform

Wu Shuping1, Yao Zhuang2   

  1. 1. School of Economics and Management, Beijing Jiaotong University, Beijing 100044;
    2. PBC School of Finance, Tsinghua University, Beijing 100083
  • Received:2020-12-02 Online:2022-12-28 Published:2023-01-16

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摘要： 本文基于某互联网证券交易平台的用户数据，识别用户在平台上的“关注”行为，实证检验了网络社会互动对互联网金融市场参与和投资表现的影响。本文发现“关注”行为会显著提高投资者参与互联网金融投资的概率，且这一影响在非金融从业、低资产规模、以投机为目的的交易者中更为明显。机制分析表明，社会互动通过提高投资者关注从而提高其金融市场参与概率是“关注”行为影响投资概率的可能机制。相应地，本文发现在社会互动诱导下参与金融市场的投资者，其短期投资收益率更低。文章进一步讨论“关注”行为的外生来源，发现新股申购事件这一外生冲击会显著激发用户“关注”行为，但影响效果在长期存在反转。本文揭示了互联网证券交易平台特有的社区属性可以显著提高投资者“关注”和金融市场参与，但同时吸引了缺乏经验的、非理性的交易者进入，放大短期市场波动。本文结论为提高我国提高金融市场参与、推动互联网金融健康发展提供了重要启示。

关键词: 社会互动, 投资者关注, 金融市场参与, 互联网证券交易平台, 新股申购

Abstract: Based on the data of an online securities trading platform, this paper directly measures the online social interaction of investors for the first time and then tests the impact on investors’ participation in the Internet Finance market. We find that online social interaction will significantly increase the probability of investors’ participating in Internet financial investment, and this effect is more significant among investors working in non-financial industries, investors with small asset size, or speculative investors. As a result, investors who start to participate in the financial market driven by the attention induction mechanism under the social interaction have lower investment returns. In addition, this paper discusses the exogenous determinants of investors’ attention and finds that the IPO subscription event has an exogenous impact and will significantly increase the overall market social interaction and attention, but that impact will be reversed in the long run. Findings in this paper reveal the micro-mechanism between investors’ online social interaction and their investing behavior, and it also contributes new evidence to the researches on Internet Finance participation.

Key words: social interaction, investor attention, financial market participation, online securities trading platforms, IPO subscription