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中国管理科学

中国管理科学 ›› 2024, Vol. 32 ›› Issue (12): 15-24.doi: 10.16381/j.cnki.issn1003-207x.2021.2593

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金融市场中的信息传递机制

王春岚1, 施文2, 孙芳芳3(), 叶强4   

  1. 1.中国旅游研究院（文化和旅游部数据中心），北京 100005
    2.上海商学院商务信息学院，上海 200235
    3.哈尔滨工业大学经济与管理学院，黑龙江 哈尔滨 150001
    4.中国科学技术大学管理学院，安徽 合肥 230026
  • 收稿日期:2021-12-16 修回日期:2024-03-23 出版日期:2024-12-25 发布日期:2025-01-02
  • 通讯作者: 孙芳芳 E-mail:fangfang@hit.edu.cn
  • 基金资助:
    国家自然科学基金创新研究群体项目(72121001);国家自然科学基金项目(72071038);中央高校基本科研业务费专项资金项目(HIT.HSS.202302)

Information Transfer in Financial Market: Evidence based on Investor Attention Transfer in Chinese A-share Market

Chunlan Wang1, Wen Shi2, Fangfang Sun3(), Qiang Ye4   

  1. 1.China Tourism Academy （Data Center of the Ministry of Culture and Tourism），Beijing 100005，China
    2.Faculty of Business Information，Shanghai Business School，Shanghai 200235，China
    3.School of Management，Harbin Institute of Technology，Harbin 150001，China
    4.School of Management，University of Science and Technology of China，Hefei 230026，China
  • Received:2021-12-16 Revised:2024-03-23 Online:2024-12-25 Published:2025-01-02
  • Contact: Fangfang Sun E-mail:fangfang@hit.edu.cn

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摘要：

深入研究金融市场信息传递机制是认识和理解市场规律的重要前提。本文从投资者关注转移的视角分析A股市场中的信息传递机制，采用互联网搜索数据作为投资者关注的衡量指标，考察A股市场中公司股价变化、同行业公司发布盈余公告及股价变化是否以及如何影响目标公司的投资者关注度。研究发现，公司股价变化、同行业公司的盈余公告和股价信号都会影响目标公司投资者关注度，且股价上涨和下跌对投资者关注度的影响具有非对称性。进一步研究显示，同行业公司信息对投资者关注的影响因目标公司的股价同步性程度、行业地位、会计信息质量以及经济政策不确定性程度而有所差异。研究结果从投资者关注转移角度刻画了A股市场的信息流动特征，为理解金融市场中信息传递机制提供了新的视角。

关键词: 投资者关注, 同行业公司, 关注转移, 信息传递, 股价同步性

Abstract:

The mechanism of how financial market information influences investor attention is crucial to understand market movement. Prior studies have shown that market information such as firm’s earnings announcement may contribute to investors’ attention transfer between firms. Relatively less about whether stock price signals can also influence investors’ attention， and how those signals would work jointly with other market information are known. In this paper， online search data are used as a measure of investor attention and the mechanism of attention transfer in China’s A-share market is explored. It is found that both earnings announcement and stock price signals of peer firms in the same industry will attract the attention of investors to the focal firm， and that stock price signals have a stronger overall explanatory role in investors’ attention transfer compared to earnings announcements. The rise or fall of a peer firm’s stock price exhibits asymmetric influence on investors’ attention. Further research shows that for focal firms with high stock price synchronicities， their investors have lower level of attention to the earnings announcements of peer firms， but higher level of attention to short-term extreme high stock returns of peer firms. Additionally， short-term extreme high price signals of peer firms significantly increase the investor attention to those industry leaders and those firms with better accounting information quality， while the earnings announcements of peer firms have a greater impact on the attention of focal firms with lower accounting information quality. From a more macro perspective， it is also found that economic policy uncertainty weakens investors’ attention transfer.

Key words: investor attention, firms in the same industry, attention transfer, information transmission, stock price synchronicity

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