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股票配资首选广州浙嘉谈谈黄金坑的技术形态和分类要点

中国资产管理研究中心 2019-06-30 12:07:54

交流与联动:来自在线股票论坛的证据

Financial Management? 14 August 2018


作者:Lei Jiang (School of Economics and Management, Tsinghua University, Beijing), Jinyu Liu(School of Banking and Finance, University of International Business and Economics, Beijing,), Baozhong Yang(Robinson College of Business,Georgia State University, Atlanta)

摘要:我们通过使用一个中国活跃的在线股票论坛——这一新的数据来源,以研究投资者交流与股票联动。我们发现在股票和相关股票的回报之间有相当大的联动关系,并且这在子论坛中针对给定股票是经常被讨论的。当相关股票的讨论越密集时,这种联动性就越大。此外,股票包含着程度越高的信息不确定性,这种交流所带来的联动影响会更强烈。共同讨论的股票表现出更活跃的交易,并呈现更多的关联交易。利用交流驱动的联动性而建立的交易策略会产生异常收益。我们的发现强调了投资者交流对资产组合的影响。

Communication and Comovement: Evidence from Online Stock Forums

Lei Jiang(School of Economics and Management, Tsinghua University,Beijing), Jinyu Liu (School of Banking and Finance, University of International Business and Economics, Beijing,), Baozhong Yang(Robinson College of Business,Georgia State University, Atlanta)

ABSTRACT

We study investor communication and stock comovement using a novel dataset from an active online stock forum in China. We find substantial comovement among the returns of a stock and its “related stocks,” which are frequently discussed in the subforum dedicated to the given stock. Comovement is greater when the discussion of related stocks is more intensive. Further, the effect of communication on comovement is stronger for stocks associated with higher information uncertainty. Codiscussed stocks are more actively traded and experience more correlated trading. A trading strategy that exploits communicationdriven comovement generates abnormal returns. Our findings highlight the impact of investor communication on asset comovement.


翻译:施懿


中央财经大学中国资产管理研究中心
????????中央财经大学中国资产管理研究中心依托于中央财经大学金融学院成立,中心致力于针对中国资产管理市场实践的独立学术研究,为中国资产市场发展提供基于学术研究的政策建议,为中国资产管理机构提供咨询服务。“以学术服务市场,以市场检验学术”,努力打造成在中国资产管理市场中具有一定影响力的智库。






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