网络股评“发布者-关注者”BSI与股票市场关联性研究*
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张宁, 尹乐民, 何立峰
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Impacts of “Poster-Follower” Sentiment on Stock Market Performance
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Zhang Ning,Yin Lemin,He Lifeng
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| 表8 投资者情绪与关注度交互作用分析(样本数量N=244) |
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| 变量 | 模型三(因变量为CI) | 模型四(因变量为R) | | M1(PBSI1) | M2(PBSI2) | M3(PBSI3) | M4(PBSI4) | M5(PBSI5) | M6(PBSI6) | 系数
(t值) | 系数
(t值) | 系数
(t值) | 系数
(t值) | 系数
(t值) | 系数
(t值) | | PBSI1t | 145.850***
(7.315) | | | 5.297***
(7.452) | | | | PBSI1(t-1) | -90.081***
(-4.609) | | | -3.211***
(-4.587) | | | | PBSI1t×ATTt | 0.059*
(2.007) | | | 0.002*
(2.188) | | | | PBSI1(t-1)×ATTt-1 | -0.004
(-0.131) | | | 0.000
(0.084) | | | | PBSI2t | | 30.313***
(6.683) | | | 1.107***
(6.771) | | | PBSI2(t-1) | | -20.523***
(-4.596) | | | -0.732***
(-4.523) | | | PBSI2t×ATTt | | 0.016*
(2.419) | | | 0.001**
(2.584) | | | PBSI2(t-1)×ATTt-1 | | -0.001
(-0.188) | | | 0.000
(0.074) | | | PBSI3t | | | 71.315***
(7.182) | | | 2.633***
(7.383) | | PBSI3(t-1) | | | -47.989***
(-4.932) | | | -1.697***
(-4.821) | | PBSI3t×ATTt | | | 0.032*
(2.204) | | | 0.001*
(2.293) | | PBSI3(t-1)×ATTt-1 | | | 0.000
(0.032) | | | 0.000
(0.253) | | ATTt-1 | -0.007
(-0.364) | -0.010?
(-1.653) | -0.011?
(-1.756) | -0.000
(-0.136) | -0.000
(-0.335) | -0.000
(-0.414) | | ATTt | -0.031?
(-1.683) | -0.007
(-1.102) | -0.005
(-0.771) | -0.001
(-1.511) | 0.000
(0.048) | 0.000
(0.425) | | TR | 21.023***
(4.926) | 21.168***
(4.932) | 21.322***
(5.062) | 0.376*
(2.609) | 0.353*
(2.408) | 0.363*
(2.534) | | FR | -14.154***
(-6.931) | -13.471***
(-6.478) | -13.351***
(-6.515) | -0.316***
(-4.523) | -0.294***
(-4.035) | -0.293***
(-4.076) | | CIt-1 | 0.907***
(57.510) | 0.897***
(56.140) | 0.899***
(56.860) | | | | | 常数项 | 223.208***
(4.454) | 282.514***
(5.920) | 275.968***
(5.836) | -1.789**
(-2.867) | -0.614*
(-2.151) | -0.690*
(-2.442) | | F | 2.017? | 2.927? | 2.436? | 2.408? | 3.371* | 2.689? | | R2 | 0.960 | 0.959 | 0.960 | 0.496 | 0.486 | 0.500 |
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