Pacific-Basin Finance Journal Volume 44, September 2017, Pages 27–46

对直播报道股票的反应：股价、交易量和订单提交行为

作者：Chaoshin Chiao (National Dong Hwa University, Taiwan, PRC), Tung-Ying Lin (First Securities Inc., Taiwan, PRC), Cheng-Few Lee (Rutgers University, Piscataway, USA)

摘要：这篇文章的目的是分析台湾2894支股票在做直播报道时股价、交易量和订单提交行为的即时反应，时间跨度为2010/10/11到2010/12/31，交易时间为9:16-13:15。第一，正面（负面）报道推动股价即时上涨（下跌），同时伴随着增加的股票交易量。然而，这个股价的移动是短期的，在之后的14天内就会消失。第二，针对报道的反应，个人投资者比机构投资者交易更加活跃和激进。个人投资者的过度反应解释了价格移动。

The reactions to on-air stock reports: Prices, volume, and order submission behavior

Chaoshin Chiao (National Dong Hwa University, Taiwan, PRC), Tung-Ying Lin (First Securities Inc., Taiwan, PRC), Cheng-Few Lee (Rutgers University, Piscataway, USA)

ABSTRACT

The purpose of this paper is to analyze the real-time responses of stock prices, volume, and order submission behavior across investor groups to 2894 on-air stock reports from 9:16 a.m. to 1:15 p.m. during regular trading hours from 10/11/2010 to 12/31/2010 in Taiwan. First, positive (negative) reports move stock prices upwards (downwards) in real time, accompanied by increasing trading volume. However, the observed price movements are short-lived and vanish 14 days afterwards. Second, responding to the reports, individual investors trade more actively and aggressively than institutional investors do. The overreaction of individual investors is responsible for the observed price movements.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17300951

翻译：阙江静