不同市场行情下投资者关注频率对交易驱动的非对称性影响

doi:10.16381/j.cnki.issn1003-207x.2020.0105

摘要/Abstract

摘要： 本文利用证券服务类应用软件(APP)的用户行为日度数据，从APP启动次数和在线时长两个角度度量了市场层面的投资者关注频率，并考察了其在不同市场行情下对投资者市场整体交易活动的非对称性影响。研究发现，投资者关注频率显著驱动了市场交易活动，但相比于坏的市场行情，该影响在好的市场行情下(如高收益、牛市周期以及高情绪阶段)对整体市场交易的边际驱动效应明显被削弱。该发现支持了信息效用假说，表明在好的市场行情下每单位信息获取频率会为投资者提供更多的享乐效用，因而被转化成更少的交易决策。然而，基于百度搜索量度量的投资者关注度对交易的驱动效应却表现出了相反的非对称性，说明投资者关注度在数量维度的测度实际上刻画了投资者的风险偏好。本文采用工具变量法等方法进行了一系列检验，验证了上述结论的稳健性。

关键词: 证券服务类应用软件；投资者关注频率；市场行情；市场交易；享乐效用

Abstract: How investors’ information acquisition behavior affects their trading decisions is a basic issue in the capital market. Research in the field of behavioral finance holds that attention is a scarce cognitive resource for individuals. Therefore, investors usually selectively pay limited attention to a few assets, which results in the phenomenon of “attention-driven trading”. Although abundant existing literature supports investor attention's driving effect on trading, whether such an effect is asymmetric under different market situations is far from being revealed. To fill this gap, this study examines the asymmetric driving effects of investor attention frequency on market trading at good and bad market times.

Key words: securities service mobile application; investors’ attention frequency; market situations; market trading; hedonic utility

中图分类号:

F832.5

蔡文武, 陆静, 赵宇洋. 不同市场行情下投资者关注频率对交易驱动的非对称性影响[J]. 中国管理科学, 2023, 31(4): 11-25.

CAI Wen-wu, LU Jing, ZHAO Yu-yang. The Asymmetric Driving Effect of Investors’ Attention Frequency on Trading under Different Market Situations——An Empirical Analysis Based on Data on Users’ Behavior in Securities Service Mobile Applications[J]. Chinese Journal of Management Science, 2023, 31(4): 11-25.

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