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散户投资人之网路搜寻行为与资本市场中的交易活动

【中文摘要】:现在的投资人在进行股票交易前可以利用搜寻引擎从网路上收集资讯。本研究运用Google 搜寻量指标(Search Volume Index)做为代理变数, 旨在阐明网络搜寻行为和资本市场中交易活动之间的关係。研究结果表明,拥有较多网路搜寻量的投资组合具有较高的股票报酬和Jensen''s alpha.。异常的网路搜寻量更可用以预测较高股票报酬。网路搜寻量并和散户投资人、信用交易、当沖的成交量呈现正相关。总体而言,这些研究结果意味着:通过观察在网路搜寻量的变化,市场管理者可以预测散户投资人的交易活动。此外,中介分析的结果显示,网际网路和财经媒体所捕捉到的投资人注意力来自不同群体。网际网路和财经媒体皆显着影响股票报酬,但在金融危机期间,其影响显得微弱并不显着。
【英文摘要】:Investors nowadays can utilize search engines to collect information from the Internet before trading. Using Google Search Volume Index as a proxy, this study aims to elucidate the link between the web search behavior of investors and trading activities in the capital market. Our findings indicate that firms in portfolios with more Google search volume possess higher stock returns and Jensen''s alpha. Abnormal increases in Google search volume can predict higher future stock returns. Rises in Google search volume are positively associated with trading volumes by individual investors, margin purchase, and day trading. Overall, these findings imply that market administrators can predict trading activities of individual investors by observing changes in Google search volume. Moreover, the mediation analysis indicates that the Internet and financial media probably capture investor attention from different groups. They both significantly affect stock returns, but their impacts appear to be weak and insignificant during financial crises.
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  • 来源:中山大学;作者:黄子伦
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