投資者有限關注與股價表現及投資者行為異質性

• Main Author: 鄭威
• Language: 中文
• Published: 國立政治大學
• Subjects: 有限關注度; 投資者異質; 股價反轉; 高轉送
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G1033570401%22.

在傳統的投資者有限關注度對於股價影響的研究中，往往都採取極端收益率、異常成交量等市場指標作為投資者關注度的代理變量。隨著網絡科技的發展，搜索引擎和財經網站的數據更直觀、即時、準確地反應了投資者關注度的變化。本文用和訊網股票關注度作為衡量投資者關注度的代理變量，實證檢驗了和訊網股票關注度所帶來的投資者異質性以及和創業板股價的聯繫。本文的實證結論主要有以下幾點：1.和訊網股票關注度比市場指標為代表的投資者關注度的代理變量更及時地反應投資者的注意力的分佈。2.小額投資者受關注度影響持續淨買入，而大額投資者則在關注度高的期間大量賣出以套利。3.投資者有限關注度對股價當期起正向的壓力，之後迅速反轉。4.在創業板市場上的高轉送(high stock dividends)事件期的股價反轉現象受關注度驅動。 === In the traditional studies of investor attention,scholars often use indirect proxies of investor attention .such as extreme return，trading volume and price limit.with the development of network technology,the measures of investor attention from search engine and financial web are more direct ,immediate and accurate.this paper use the measure of investor attention from hexun web to test if investor attention links with investor heterogeneity and GEM stock performance.We find that：1. hexun investor attention captures investor attention in a more timely fashion than the other proxies of investor attention. 2. Retail investors are likely to be net buyers of attention-grabbing stock continuously while large investors keep selling. 3. The investor attention brings the positive pressure to current stock price, and then quickly reverses. 4. The stock price reversal in the period of high stock dividends event is driven by the investor attention.