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本文选用2007年11月16日至2009年4月10日上证综指收益率和新浪网股票论坛上证综指吧的发帖量数据,通过构建收益率与异常发帖量的多元BEKK-GARCH模型,对收益率与异常发帖量间的波动溢出效应进行实证分析,并以此考察交易市场和股票论坛间的信息传递和相互关系。结果表明:收益率和异常发帖量间存在显著的双向波动溢出关系,收益率对异常发帖量方向存在正向的波动溢出效应,异常发帖量向收益率方向存在负向的波动溢出效应,故交易市场与股票论坛间存在双向信息传递关系;收益率和异常发帖量存在显著的负相关关系,市场下跌提高了投资者的信息需求,股票论坛的信息交流与沟通对稳定金融市场、提高投资理性具有一定作用。
In this paper, we select the posting data of SSE Composite Index and SSE Composite Index from Nov. 16, 2007 to Apr. 10, 2009, and construct the multivariate BEKK-GARCH model with yield and abnormal posting volume The empirical analysis of the volatility spillover effect between the return rate and the abnormal posting volume and the information transmission and the interrelationship between the trading market and the stock forum. The results show that there is a significant two-way volatility spillover relationship between the return rate and the abnormal posting volume, the return rate has a positive spillover effect on the abnormal posting volume, and the negative posting volume has a negative volatility spillover effect on the yield rate, There is a two-way relationship between the market and the stock forum; there is a significant negative correlation between the rate of return and the number of abnormal postings. The decline of the market improves the information needs of investors. The exchange and communication of information on the stock forum can improve the stability of the financial market, Certain effect.