基于投资者有限理性和社会互动的上市公司传闻研究

This project studies cause of formation, effects and their mechanism of rumors of listed companies in Shanghai and Shenzhen Stock Exchange on their stock prices, and strategies of controlling them, based on investors' bounded rationality and social interaction. Firstly, we analyze how they are generated from the perspective of economics after gathering up their features. Secondly, we use the event-GARCH study, parametric and non-parametric methods to study empirically whether the different types of the rumors, which are classified by their contents, influence significantly on the stock prices with a selected sample, find the types of the rumors that have obvious effects, and suggest that we should control the rumors in terms of their classification. Thirdly, we study individual investors' trading decisions and behaviors when hearing a rumor by taking a simulation analysis with an evolutionary game model and an experiment, and show the mechanism of the effect of the rumor on the stock price. Finally, we research empirically the application and effect of the strategies of controlling rumors with data from a questionnaire survey, group interviews for individual investors and an experiment, and propose the standard and order of choosing the strategies of managing rumors. This research has great significance for understanding efficiency in China stock market, discovering the mechanism of the effects of the rumors on the stock prices, improving on regulation for the rumors, and protecting investors' interests, especially minority investors.

本项目基于投资者有限理性和社会互动，研究上市公司传闻的形成原因、对股价的影响和作用机制以及治理措施。在概括沪深证券交易所上市公司传闻特征的基础上，从经济学角度分析其形成原因；在严格筛选样本后，利用考虑GARCH效应的事件研究、参数和非参数检验等方法，实证分析按内容划分的不同类别上市公司传闻对股价的影响及其差异，甄别出对股价产生显著影响的传闻类别，提出分类管理传闻的措施；利用进化博弈模型仿真和实验分析，研究上市公司传闻作用下投资者的交易决策和行为，揭示出传闻通过投资者交易决策和行为影响股价波动的机制；通过问卷调查、小组座谈和实验等方法获取资料，研究治理上市公司传闻策略的使用状况及效果，提出传闻治理策略选择的标准和顺序。本项目的研究结论对于认识股票市场效率、揭示传闻对股价的作用机制、改进股市传闻治理、保护投资者利益都有重要意义。

本项目基于投资者有限理性和社会互动，研究了沪深上市公司传闻的形成原因、对股价的影响和作用机制及治理措施。上市公司传闻是在不确定情形下，有关上市公司的信息需求超过了供给而出现的。它对股价会发生显著影响，这种影响因公司规模、所属行业、市场状态、传闻类型、有无澄清信息等而存在差异。这种影响是通过改变投资者的交易行为实现的，因此探讨投资者获悉传闻后的交易决策是理解其对股价作用机制的关键。传闻传递涉及的因素，如传闻信息、发送方、接收方及其传递传闻情况等都会影响接收方个人投资者的交易决策，但影响买卖决策的因素存在差异。传闻通过个人投资者对传闻信息的交流、核实以及观察相应股价变动情况，从而影响其交易决策。治理传闻的策略有多种，不同策略的效果不同，大多数策略的平均效果处于中等水平，及时提供有用信息的策略能产生较好的效果，因此应同时考虑多个效果较好的策略。这些结论对于认识股票市场效率、揭示传闻对股价的作用机制、改进股市传闻治理、保护投资者利益都有重要意义。