Journal of Banking & Finance · Vol.78·MAY 2017

情绪差异和股票市场交易

作者：Antonios Siganos(University of Glasgow), Evangelos Vagenas-Nanos (University of Glasgow), Patrick Verwijmeren (University of Glasgo, Erasmus University Rotterdam, University of Melbourne)

摘要：本文介绍了对行为金融文献中情绪差异的概念。我们通过使用Facebook状态更新的数据来衡量20个国家每天有正面和负面情绪的人之间的差异。 我们预测，情绪的差异越大，人们对前景和风险的看法越不同，进而对股票的价值将产生更多分歧。根据这一预测，情绪差异与交易量正相关。我们进一步预测并发现了情绪差异与股价波动之间的正相关关系。 当个人投资者越有可能进行交易时，观察到的这种正相关关系越强。我们比较了我们国家和全球的情绪差异的不同影响，发现特定国家和全球情绪差异的不同影响取决于一个国家的市场一体化水平。

关键词：情绪，差异模型，选择差异，小投资者，市场一体化

Divergence of sentiment and stock market trading

Antonios Siganos(University of Glasgow), Evangelos Vagenas-Nanos (University of Glasgow), Patrick Verwijmeren (University of Glasgo, Erasmus University Rotterdam, University of Melbourne)

ABSTRACT

This paper introduces the concept of divergence of sentiment to the behavioral finance literature. We measure the distance between people with positive and negative sentiment on a daily basis for 20 countries by using data from status updates on Facebook. The prediction is that a higher divergence of sentiment leads to more diverging views on prospects and risks, and thus to more diverging views on the value of a stock. In line with this prediction, divergence of sentiment is positively related to trading volume. We further predict and find a positive relation between divergence of sentiment and stock price volatility. The observed relations are stronger when individual investors are more likely to trade. We compare the effect of our country-specific measures to a global measure of divergence of sentiment. We find that the separate effects of country-specific and global divergence measures depend on a country's level of market integration.

Keywords: Sentiment, Disagreement models, Divergence of opinion, Small investors, Market integration

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426617300365

翻译：贾梦悦