【摘要】 网络搜索数据记录了数以亿计的搜索关注与需求,为研究市场交易行为提供了必要数据基础。本文以股票市场为例,首先从微观的投资者行为视角建立一个理论框架,揭示了网络搜索与股票市场之间存在一定的先行——滞后关系。然后,在时差相关分析的基础上,根据经济含义将搜索数据合成为三类搜索指数:股民行动指数、市场行情指数、宏观形势指数。实证检验得出,搜索指数与上证指数年收益率正相关且存在协整关系。在长期趋势中,三类搜索指数分别每增加1个百分点,年收益率将增加0.22、0.56、0.83个百分点。进一步的Granger因果关系检验表明,搜索指数对上证指数年收益率具有显著的预测能力。更多还原

【Abstract】 The Internet search data,recording hundreds of millions searchers’ concerns and intends,can provide necessary data basis for the study of market transaction behaviors.In this paper,taking the stock market as a research object,we firstly establish a theoretical framework to reveal a lead-lag relationship between search data and stock market based on micro-perspective of investors’ behaviors.Then according the meanings of search key-word and cross-correlation analysis,we develop three types of composite search index:investor action index,market condition index,and macroeconomic index.The empirical test indicates cointegration relationship between search index and the annualized yield of Shanghai composite index.In the long-term trend,each additional one percentage point increase in the three types search indices separately,the annualized yield will increase 0.22,0.56,0.83 percentage points in the next month.Furthermore,Granger causality test shows that the search indices have significant predictive power for the annualized yield of Shanghai composite index.更多还原