本文選題：股價同步性 + 微博信息質(zhì)量　； 參考：《南京大學》2014年碩士論文

【摘要】：股價同步性是價格失靈的主要表現(xiàn)。金融學家們認為在有效的市場中,股票價格變動反映了公司特有的或者整個市場的信息,而不應與大盤保持同步的波動狀態(tài),股價同步性趨勢的強弱可以用來評價個股股價中包含的信息含量。個股同步性趨勢明顯表明股票價格隨著市場整體的波動而同步變化,意味著股價較多地反映了市場層面的信息,僅包含少量甚至沒有包含公司層面的特質(zhì)信息。這一現(xiàn)象的存在會讓股價失去對投資者的指導作用,淡化了價格的導向作用。根據(jù)國內(nèi)外眾多學者的研究,當公司信息披露機制健全,投資者會基于信息掌握情況做出理智判斷,從而降低股價的同步性程度。信息資源的披露程度和獲取程度對股價具有直接的影響。隨著信息技術(shù)的快速發(fā)展,網(wǎng)絡(luò)已經(jīng)成為信息獲取與交換的主要手段。微博作為當今社會一種熱門的用戶信息獲取、分享、交換的平臺,它不僅可以提供大量的實時新聞,評論,談話,還可以以其為載體進行溝通交流。官方微博是企業(yè)最具權(quán)威性和公信力的微博發(fā)布渠道,企業(yè)可以在這個平臺上發(fā)布宏觀經(jīng)濟形式背景、行業(yè)政策法規(guī)、公司經(jīng)營狀況、文體活動等信息,關(guān)注者可以根據(jù)自己對信息的理解與可用性對信息進行評論、轉(zhuǎn)發(fā)、收藏。但是由于網(wǎng)絡(luò)使用的便捷性,使用者的差異性使得網(wǎng)絡(luò)信息資源質(zhì)量參差不齊,為了方便信息使用者對網(wǎng)絡(luò)信息資源進行客觀公正的評價,需要構(gòu)建一個評價指標體系,為使用者做出理性決策提供依據(jù)。本文選取2010年1月1日至2013年12月31日上證180成份股為樣本,運用R2來對股價同步性水平進行度量,發(fā)現(xiàn)即便是經(jīng)營良好的大公司仍然才在明顯的股價同步性現(xiàn)象,考慮信息資源的重要性,我們結(jié)合官方微博質(zhì)量系數(shù)作為主要解釋變量,運用粉絲數(shù)、微博總數(shù)、活躍天數(shù)、評論數(shù)、轉(zhuǎn)發(fā)數(shù)等變量構(gòu)建指標體系,從關(guān)注度、信賴度、更新頻率三個維度對官方微博質(zhì)量進行評估。引入公司規(guī)模、換手率、賬面市值比作為控制變量建立模型,對股價同步性水平進行解釋。
[Abstract]:The synchronism of stock price is the main manifestation of price failure. Financiers believe that in efficient markets, stock price movements reflect information specific to the company or the market as a whole, rather than keeping pace with the market. The strength of synchronism can be used to evaluate the information content in the stock price. The synchronism trend of individual stock obviously indicates that the stock price changes synchronously with the fluctuation of the whole market, which means that the stock price reflects the information of the market level, and contains only a little or no characteristic information of the company level. The existence of this phenomenon will cause the stock price to lose its guiding role to investors and play down the guiding role of price. According to the research of many scholars at home and abroad, when the company information disclosure mechanism is sound, investors will make rational judgment based on the information grasp, thus reducing the synchronism degree of stock price. The degree of disclosure and acquisition of information resources has a direct impact on the stock price. With the rapid development of information technology, the network has become the main means of information acquisition and exchange. As a popular platform for information acquisition, sharing and exchange, Weibo not only provides a lot of real-time news, comments and conversations, but also communicates with them. The official Weibo is the most authoritative and credible Weibo release channel for enterprises. On this platform, enterprises can publish information on macroeconomic background, industry policies and regulations, company operating conditions, cultural and cultural activities, etc. Followers can comment, forward, and collect information based on their understanding and availability. However, because of the convenience of network use and the difference of users, the quality of network information resources is not uniform. In order to facilitate information users to evaluate network information resources objectively and fairly, it is necessary to construct an evaluation index system. It provides the basis for users to make rational decisions. From January 1, 2010 to December 31, 2013, 180 component stocks of Shanghai Stock Exchange are selected as samples, using R2 to measure the synchronous level of stock price. It is found that even large companies with good operation are still in the obvious phenomenon of stock price synchronism. Considering the importance of information resources, we use the official Weibo quality coefficient as the main explanatory variable, using the following variables: the number of fans, the total number of Weibo, the number of active days, the number of comments, the number of retweets and so on. Three dimensions of update frequency were used to evaluate the quality of official Weibo. This paper introduces the company size, turnover rate and book market value ratio as control variables to establish a model to explain the synchronous level of stock price.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F273.2;TP393.092

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本文編號：1928070