| 交易者关注行为对股票价格的影响机制 |
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| 引用本文： | 郝玉婷,沐年国. 交易者关注行为对股票价格的影响机制[J]. 财务与金融, 2015, 0(2): 68-73. DOI: 10.3969/j.issn.1674-3059.2015.02.014 |
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| 作者姓名： | 郝玉婷 沐年国 |
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| 作者单位： | 上海理工大学 上海市,200028 |
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| 基金项目： | 教育部人文社会科学研究一般项目(编号12YJC630127)资助；受2014年上海市教委科研创新项目 |
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| 摘 要： | 本文研究了交易者的关注行为对股票价格的影响机制。通过控制了公司基本面的因素基础上，分别从最终量（股票价格）和变化量（价格差）两个角度，建立了影响模型，实证发现，无论是最终量还是变化量，当期的关注度产生的正向响应都是强于滞后一期产生的反向影响；进一步用格兰杰因果分析了两者的关系，发现互为双向格兰杰原因；通过脉冲响应了解相互之间作用的模式，发现关注度对价格短期内是反向波动的影响，长期会有正向的响应。
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| 关 键 词： | 百度指数 关注度 股票价格 |
Influencing Mechanism of the Investors' Attention to Stock Price |
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| HAO Yu-ting,MU Nian-guo. Influencing Mechanism of the Investors' Attention to Stock Price[J]. Accounting and Finance, 2015, 0(2): 68-73. DOI: 10.3969/j.issn.1674-3059.2015.02.014 |
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| Authors: | HAO Yu-ting MU Nian-guo |
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| Affiliation: | HAO Yu-ting;MU Nian-guo;University of Shanghai for Science and Technology; |
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| Abstract: | The paper researches influencing mechanism of the investors' attention to stock prices. When controlling the important function factor's influence, we establish the models about the attention and the stock price and price variance. Then we find the current attention's positive influence is higher than the negative one of the first-lagged attention. And we use Granger Causal Relation Test and the Impulse Response Function. As a result, we find out that they are the granger reasons, and attention significantly positively affects the stock price in long term. |
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| Keywords: | Limited Attention Baidu Index Stock Price |
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