投资者本地异常关注能预测股票市场吗？

摘要/Abstract

摘要： 选取我国187家创业板上市公司为研究对象，从东方财富股吧100多万条帖子中提取发帖人的地址构建本地偏好的衡量指标——本地异常关注，研究本地异常关注对股票收益率、波动率以及异常交易量的解释和预测能力。结果表明：本地异常关注对当日和未来两日的股票收益率均产生显著的正向影响，但会在一段时间后发生反转；本地异常关注对当日和未来两日的波动率都具有显著的正向影响，且具有一定的持续性；本地异常关注对当日和未来两日的异常交易量都产生显著的正向影响，但具有短期效应，会在未来发生反转。上述研究不仅有助于深入了解本地偏好现象对股票市场的解释和预测机制，也为投资者和监管部门提供了一定的决策依据。

关键词: 本地偏好, 投资者关注, 收益率, 波动率, 交易量

Abstract: In this paper, we select 187 listed companies in Growth Enterprise Market as samples and extract more than 1 million posters' addresses from Guba Eastmoney to build a local preference index, i.e., abnormal local investor attention. We test how able abnormal local investor attention is to interpretate and predict stock return, volatility and abnormal trading volume respectively. The results show that abnormal local investor attention significantly positively affects stock returns of that very day and next two days, but there is a reversal over time. In addition, we find that abnormal local investor attention has significant positive influence on volatility of that very day and the next two days, and it has some continuity. Besides, we also find that abnormal local investor attention significantly positively affects abnormal trading volume of that very day and the next two days, but it has a short-term effect and will reverse in the future. The results can not only help better understand how local preference can be used to interpretate and predict stock market, but also provide some decision-making basis for investors and regulators.

Key words: local preference, investor attention, return, volatility, trading volume

樊晓倩, 苑莹. 投资者本地异常关注能预测股票市场吗？[J]. 管理评论, 2021, 33(10): 70-80.

Fan Xiaoqian, Yuan Ying. Can Abnormal Local Investor Attention Be Used to Predict Stock Market?[J]. Management Review, 2021, 33(10): 70-80.

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