| 基于网络搜索指数的股票市场微观结构特征 |
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| 引用本文： | 王耀君,高扬,王耀青.基于网络搜索指数的股票市场微观结构特征[J].北京理工大学学报(社会科学版),2018,20(5):54-62. |
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| 作者姓名： | 王耀君 高扬 王耀青 |
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| 作者单位： | 北京大学光华管理学院,北京,100871;北京工业大学经济与管理学院,北京,100124;浙江科技学院经济管理学院,浙江杭州,310023 |
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| 基金项目： | 国家自然科学基金面上项目资助（61603010）；中国博士后科学基金资助项目（2017M610671） |
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| 摘 要： | 基于2013-2016年2 966只股票的交易数据及对应的网络搜索指数对股票市场微观结构特征进行研究。通过建立横截面回归模型以及面板联立回归等模型分别探究了网络搜索指数对中国股票市场的收益率、流动性以及波动率的影响。实证结果表明:股票的关注度增加，会提高股票市场交易的流动性和收益率；对于关注度对波动率的影响没有得出统一的结论，在股票市场短周期上，关注度增加并不显著影响股票市场的波动率，但是在长周期上，会降低股票的波动率。
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| 关 键 词： | 搜索指数 股票市场微观结构 投资者关注 |
| 收稿时间： | 2017/8/14 0:00:00 |
The Market Microstructure Characteristics of Chinese Stock Markets based on Internet Search Indexes |
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| WANG Yaojun,GAO Yang and WANG Yaoqing.The Market Microstructure Characteristics of Chinese Stock Markets based on Internet Search Indexes[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2018,20(5):54-62. |
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| Authors: | WANG Yaojun GAO Yang and WANG Yaoqing |
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| Institution: | 1.Guanghua School of Management, Peking University, Beijing 100871, China2.School of Economics and Management, Beijing University of Technology, Beijing 100124, China3.School of Economics and Management, Zhejiang University of Science and Technology, Hangzhou Zhejiang 310023, China |
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| Abstract: | Based on the trading and Internet search data of 2966 stocks from 2013 to 2016, this paper investigated the market microstructure characteristics of China''s stock market. The cross-sectional regression and panel simultaneous regression models were established respectively to explore the impact of Internet attention on the return, liquidity, and volatility of China''s stock market. The empirical results revealed that with the increase of Internet attention, the liquidity and return of stock market would both be improved, while for volatility, there was no consistent conclusion. In the short term, the increased Internet attention did not significantly affect the volatility of the stock market, but it would indeed reduce the volatility of the stock market in the long time. |
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| Keywords: | search index microstructure characteristics of stock markets investor attention |
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