网络股评“发布者-关注者”BSI与股票市场关联性研究<sup>*</sup>

网络股评“发布者-关注者”BSI与股票市场关联性研究^*

张宁, 尹乐民, 何立峰

Impacts of “Poster-Follower” Sentiment on Stock Market Performance

Zhang Ning,Yin Lemin,He Lifeng

表6 模型一回归分析结果(因变量为“上证综合指数”CI, 样本数量N=244)

变量	M1	BSI_la			BSI_lm			BSI_ra			BSI_rm
	M1	M2	M3	M4	M2	M3	M4	M2	M3	M4	M2	M3	M4
	系数	系数	系数	系数	系数	系数	系数	系数	系数	系数	系数	系数	系数
	(t值)	(t值)	(t值)	(t值)	(t值)	(t值)	(t值)	(t值)	(t值)	(t值)	(t值)	(t值)	(t值)
BSI₁_t		123.018^***			124.322^***			165.589^***			59.520^***
BSI₁_t		(9.352)			(-9.415)			(-12.013)			(-6.263)
BSI₁₍_t_-1)		-53.927^***			-50.790^***			-77.985^***			-13.733
BSI₁₍_t_-1)		(-4.102)			(-3.862)			(-5.682)			(-1.453)
BSI₂_t			20.055^***			20.661^***			35.956^***			30.154^***
BSI₂_t			(8.104)			(-8.26)			(-11.506)			(-5.69)
BSI₂₍_t_-1)			-8.395^***			-8.212^***			-16.845^***			-3.138
BSI₂₍_t_-1)			(3.370)			(-3.270)			(-5.397)			(-0.583)
BSI₃_t				61.384^***			62.163^***			82.794^***			29.781^***
BSI₃_t				(9.318)			(-9.415)			(-12.013)			(-6.27)
BSI₃₍_t_-1)				-26.990^***			-25.397^***			-38.992^***			-6.894
BSI₃₍_t_-1)				(-4.099)			(-3.862)			(-5.682)			(-1.460)
TR	26.038^***	21.900^***	22.794^***	21.784^***	21.702^***	22.785^***	21.703^***	19.940^***	19.532^***	19.940^***	21.871^***	22.477^***	21.871^***
TR	(5.323)	(5.050)	(5.117)	(5.013)	(-5.034)	(-5.159)	(-5.034)	(-4.94)	(-4.726)	(-4.94)	(-4.744)	(-4.802)	(-4.745)
FR	-18.104^***	-16.033^***	-16.957^***	-16.000^***	-15.786^***	-16.783^***	-15.786^***	-14.292^***	-14.383^***	-14.292^***	-16.120^***	-15.870^***	-16.126^***
FR	(-7.202)	(-7.269)	(-7.486)	(-7.241)	(-7.161)	(-7.440)	(-7.161)	(-6.974)	(-6.868)	(-6.974)	(-6.775)	(-6.496)	(-6.780)
CI_t_-1	0.888^***	0.903^***	0.898^***	0.903^***	0.904^***	0.899^***	0.904^***	0.908^***	0.907^***	0.908^***	0.892^***	0.889^***	0.892^***
CI_t_-1	(48.314)	(57.627)	(55.295)	(57.564)	(-57.791)	(-55.599)	(-57.791)	(-62.967)	(-61.919)	(-62.967)	(-52.028)	(-51.123)	(-52.041)
常数项	306.752^***	223.635^***	275.881^***	258.798^***	219.170^***	272.781^***	255.947^***	198.677^***	246.595^***	242.479^***	270.757^***	302.424^***	293.549^***
常数项	(5.640)	(4.717)	(5.741)	(5.571)	(-4.621)	(-5.702)	(-5.526)	(-4.575)	(-5.684)	(-5.678)	(-5.339)	(-5.882)	(-5.798)
F	28.539^***	46.424^***	34.778^***	46.118^***	47.255^***	36.252^***	47.257^***	77.309^***	71.110^***	77.309^***	20.208^***	16.323^***	20.258^***
R²	0.931	0.951	0.947	0.951	0.951	0.948	0.951	0.959	0.957	0.959	0.941	0.94	0.941
ΔR²	0.931^***	0.020^***	0.016^***	0.020^***	0.020^***	0.016^***	0.020^***	0.028^***	0.026^***	0.028^***	0.010^***	0.009^***	0.010^***