基於百度搜索指數的投資人關注度對滬深 300 指數成分股報酬之影響

本研究旨在研究分析投資人對股票的關注度與股票報酬的相關性，並以中國大陸最大的搜索引擎——百度搜索指數(SVI)為投資人關注度的代理變數，以 2014-2018 期間中國大陸滬深 300 指數成分股中 164 家公司的股票資訊為樣本，透過回歸分析發現:以股票代碼為搜索關鍵字的異常搜索量 ASVI 對股票報酬的解釋能力最強，並且與報酬的影響呈前期顯著正相關，後期反轉為顯著負相關; 多頭市場期間，當期關注度的上升會加速當期股價的上漲，也會減弱下一期股價的下跌幅度，高波動市場期間也出現了上述同樣的狀況;投資人情緒高漲期間，當期關注度的上升能加速當期股價的上漲，但並不能影響下一期股價的下跌幅度; 投資人本地關注上升亦能導致當地公司當期股價上漲，但並不會影響後期的漲跌。

關鍵字

投資人關注度；投資人情緒；本地偏好；股票報酬；百度指數；市場狀態

並列摘要

This study is to research and analysis for stock investors the attention and the correlation of stock returns, and in mainland China's largest search engine, baidu search index (SVI) as the investor attention proxy variables, in mainland China during 2014- 2018 164 shares in CSI 300 index information as sample, through the regression analysis found that: in stock code for abnormal search keyword searches ASVI explanation for stock compensation ability, the strongest and compensation are the significant positive correlation, the influence of the late into significant negative correlation; During the bull market period, the increase of attention in the current period will accelerate the rise of stock prices in the current period and weaken the fall of stock prices in the next period. During the period of high investor sentiment, the increase of current attention can accelerate the rise of current stock price, but cannot affect the decline of next period stock price; Investors' increased local attention can also lead to a rise in the current share price of local companies, but will not affect the later ups and downs.