Pacific-Basin Finance Journal, Volume 51, October 2018
“推特”金融市场：大数据时代的媒体效应
作者：Peipei Liu (Harbin Institute of Technology Shenzhen Graduate School, China),
Xinping Xia (School of Management, Huazhong University of Science and Technology, Wuhan, China),
Antai Li (School of Management, Huazhong University of Science and Technology, Wuhan, China)
摘要：本文探讨了新媒体在中国金融市场中的作用。利用网络爬虫技术，我们从百度和360搜索引擎、和讯金融平台和新浪微博中提取了2009年至2016年的每日数据。我们发现，股票交易量和换手率与新媒体活动正相关，而股票回报率则与之负相关。反向效应也存在。通过对渠道的比较，社交媒体的效果要弱于其他渠道。通过行业比较，互联网搜索引擎和在线金融平台与基础材料和电信有着显著的关联，而社交媒体与消费服务和技术有着密切的关系。此外，我们还比较了传统媒体和新媒体的影响，发现传统媒体存在延迟效应。本文重点介绍了大数据时代的媒体效应和投资者行为。
关键词：新媒体；媒体效应；爬虫技术；投资者行为
Tweeting the financial market: Media effect in the era of Big Data
Peipei Liu (Harbin Institute of Technology Shenzhen Graduate School, China), Xinping Xia (School of Management, Huazhong University of Science and Technology, Wuhan, China), Antai Li (School of Management, Huazhong University of Science and Technology, Wuhan, China)
ABSTRACT
This paper explores the effect of new media in China's financial markets. Using web crawling techniques, we extract daily data from the Baidu and 360 search engines, the Hexun finance platform and Sina Weibo from 2009 through 2016. We find that stock trading volume and turnover ratios are positively related to new media activity, while stock return is negatively related. A reversal effect also exists. By comparing the channels, the effect is weaker in social media than other channels. By comparing the industries, Internet search engines and online financial platform are significantly related to basic materials and telecommunication, while social media is related to consumer services and technology. Furthermore, we compare the effect of traditional with new media, finding a delayed effect in traditional media. Our paper highlights the media effect and investors' behavior in the era of Big Data.
Keywords: New media; Media effect; Crawler technology; Investor behavior
原文链接：https://www.sciencedirect.com/science/article/pii/S0927538X17302421#!
翻译：施懿
