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现有的金融理论在刻画信息对资产价格的影响时,往往将成交量作为信息的代理变量,研究成交量与股票价格变动之间的动态关系。由于金融大数据提供了更多的微观数据,使得我们能够直接对信息进行度量,进而为研究信息与成交量的内在关系提供了可能。基于此,采用百度媒体指数作为公司层面的信息,研究互联网信息与成交量的关系。通过分析样本期内个股日成交量、日收益率与百度媒体指数间的动态关系以及鲁棒性检验。实证发现:(1)在不控制任何条件时,新闻量越大,则个股成交量越大;(2)以日收益率作为控制变量时,新闻量与个股成交量之间的正向相关关系仍然存在,但此时新闻量与个股成交量之间的相关性关系呈现一种不对称性。上述的实证结果,不仅为研究信息与资产价格的关系提供了新的思路,也可被用于开发基于金融大数据的量化交易。
When describing the impact of information on asset prices, the existing financial theories tend to use the volume as a proxy for information to study the dynamic relationship between volume and stock price changes. Since financial big data provide more micro-data, we can measure the information directly, which makes it possible to study the relationship between information and volume. Based on this, using Baidu Media Index as a company-level information to study the relationship between Internet information and volume. By analyzing the daily trading volume of individual stocks during the sample period, the daily yield and the dynamic relationship between Baidu media index and robustness test. The empirical results show that: (1) the larger the news volume, the larger the volume of individual stocks when no conditions are controlled; (2) the positive correlation between the news volume and individual stock volume when the daily return rate is used as the control variable Still exists, but the correlation between news volume and individual stock volume presents an asymmetry. The above empirical results not only provide new ideas for the study of the relationship between information and asset prices, but also for the development of quantitative transactions based on financial big data.