基于媒体驱动的异质投资者交易行为分析

摘要

媒体在发挥信息中介职能传播市场信息的同时，充当了投资者注意力资源的分配机制。本文从股票成交量的变化入手检验了媒体报道对投资者交易行为的影响，发现中小企业板上市公司股票的成交量、成交金额和换手率，与媒体报道强度存在着显著正相关关系；随着媒体报道强度的增加，在个人投资者增加买入的同时，机构投资者将实施相反的操作。因此，这一分析结果验证了行为金融理论关于投资者有限理性的假设，并且从微观层面动态地考察了两类投资者之间的策略互动机制。%As the information medium, while the media disseminates market information , it also plays a role as the dis-tribution mechanism of attention resource .We investigate influence of media coverage on investors′trading behavior using the fluctuation of stock trading volume as the breakpoint , finding that stock trading volume, amount and turnover rate of listed companies in small and medium -sized enterprise board have significant positive correlation with media coverage intensity.Moreover, with the intensity increasing of media coverage , individual investors buy in more but the institutional investors do the opposite.These results verify the hypothesis of bounded rationality in behavior finance and research stra -tegic interaction between these two types of investors .