Research On The Impact Of Internet Stock-community Exchange On Stock Market Herding

Herding behavior has an important influence on the efficiency of financial market,and it is an important topic in the field of financial research.A large number of theoretical and empirical researches have indicated that the herding behavior of stock market with rising and falling is affected by the information and behavior factors.It becomes an important social phenomenon that the Internet information dissemination platform rise up along with the rapid development of modern information technology,and It becomes an important channel for information dissemination based on investors interact with each other through the Internet community and becomes a focus of academic interest.Therefore,it has great theoretical and practical significance to research the influence of internet stock community communication on herding behavior in stock market.In this paper,the object of research is the stock market herding with rising and falling.we fully research the influence of internet stock community communication on herding behavior in stock market through the two dimensions between information and emotional factors by investigating the relationship between the data of the Internet stock community and the stock market with rising and falling.First of all,we present the research questions based on the internet flat background of securities information dissemination,and summarize related theories of the effect on financial market through the herding behavior and Internet information dissemination,and provide this research method and technical route,and points out the innovation.Secondly,it take the stock dispersion as a proxy variable of the stock market herding with rising and falling,and take the abnormal posting in guba.eastmoney.com as a proxy variable of the amount of information dissemination in the internet community,and fully investigate the influence of information factors of internet community communication on the stock market herding,and research the information transmission effect of the internet stock community in different time,and confirm the internet stock community transmits effective information,and has a positive effect on weakening the herding effect in stock market,and reveals propagation effects of the internet stock community in different periods.Again,take the emotional keywords frequency in guba.eastmoney.com as proxy variable,fully investigate the influence of emotional factors of investor communication in the internet stock community on the stock market herding,and study the multi-level influence of the heterogeneity investor sentiment on the stock market herding;and compared the explanatory power of the herding effect in stock market between the information factor and the emotional factor in the internet stock community.Further,this paper also studies the dissemination of information exchange factors in Internet community impact on investor sentiment,and then explores the mutual causal relationship in the dissemination of information,emotion,herding behavior and market price changes,and investigate the multi-level influence relationship between internet stock community communication and the herding behavior and market from the system level.The last part is the conclusion,it summarizes the main research content and innovation points,gives policy recommendations,and points out the lack of research and research direction in future.The main conclusions of this paper are as below.(1)The exchange of information in the internet stock community has a significant impact on the herding effect of the stock market.First of all,based on the comprehensive effects of day time scale,the information dissemination of the internet stock community has weakened the herding behavior of the stock market and improved the efficiency of the market.The improvement for the herding behavior of the stock market by the information dissemination in this kind of Internet stock community not only reflects on its efficiency in the day,but also has the overnight effect,that is,it also has an inhibitory effect on herding behavior of the stock market on next day.This result not only supports the perspective from Gu etc.(2006)that they believe that it has private information in the Internet stock community,but also supports the perspective from Lin etc.(2010)that information costs affect herding behavior.Secondly,there exist dynamic mutual influence relations in the stock market herding effect and the internet stock community information dissemination.This interaction is helpful to restrain the continuous of herding behavior of stock market in day time series.This shows that the open information exchange environment can stabilize the continuity of the stock market herding effect,also support the view from the Dong Dayong,Xiao Zuoping(2011a)that there is interaction between inside behavior and outside information exchanging.Thirdly,it has the intraday time interval effect that the internet stock community information dissemination affect the herding effect of the stock market.In trading period,real time network community information exchange has weakened the herding effect of the stock market and improved the efficiency of the market;And in the non-trading period,the outer information dissemination is strengthen the herding effect,has the negative impacts on market efficiency.The intraday effect may be due to micro information dissemination process.we investigate the brief time section in corresponding from the micro propagation process.The network information dissemination behavior in pre-market enhances the herding effect due to the limited attention in information communication,and the network information dissemination in intraday and after-hours weaken the herding effect due to the improvement of the effective information dissemination.(2)The emotional factors of internet stock community communication has a significant impact on the herding behavior of the stock market.First of all,the Internet stock exchange in the heterogeneity of the investor sentiment is an important factor to explain the stock market herd effect.In explaining the stock market’s rise and fall,the introduction of the investor sentiment factor model is better than other comparative models.In addition to the emotional intensity and emotional direction of current research to the literature,the introduction of the investor sentiment heterogeneity factor model has better explanatory ability,we can not ignore the effect of the heterogeneity of investor sentiment on the herding behavior in the stock market.Second,investor sentiment has multiple dimensions influences on the stock market herding effect.Whether pessimism or optimism,the increase of the overall intensity of investors will enhance the stock market herding effect;Overall emotional tendency has a significant impact on the stock market herding effect,the more optimistic the investors’sentiment is,the less the stock market herding effect is;Again,the heterogeneity of investor sentiment has a inhibitory impact on the stock market herding effect,the greater the emotional divergence among investors,the smaller the herding effect of the stock market.Emotional heterogeneity suppress the stock market herding effect,which means that varieties of opposing views exchanging in the internet stock community may improve the efficiency of market information.(3)The impact of information transmission factors and emotional factors of the Internet stock community communication is independent,it is more reasonable to use the view of comprehensive information dissemination and investor sentiment to explain the herding effect.Firstly,the information dissemination variables and investor sentiment variables,which investigated in the independent of the trading market,have significant explanatory power to the herding effect of the stock market.After controlling the market return linear variables and typical non-linear variables,information dissemination variables and investor sentiment variables have a significant impact on the index with rising and falling in stock market,this suggest that there are insufficiency of the explanations for the market behavior by efficient market hypothesis of "the market react to all".In explaining and testing the herding effect of the stock market,It is different from traditional research on the non-linear relationship of the market return rate,the measure variables of investors’ behavior outside the market can provide a new analysis perspective.Secondly,compared with the investor sentiment factors,the explanation model of information transmission factor of stock market herding effect is better.This shows that if only explain the stock market herding effect from investors’ optimistic or pessimistic mood,it may not be as good as that from the perspective of public information dissemination to explain the investors’ conformity behavior of the overall market price change.The empirical results also show that we cannot simply attribute the communication behavior of posting in network community to the associated impact of investor sentiment,the network community exchange has the function of affecting investors decision-making information set,which can explain the market behavior.Thirdly,it is more reasonable to explain the herding effect of stock market by the view of integrated information dissemination and investor sentiment.Whether it control the information dissemination factors or the investor sentiment,it is still statistically significant for the other factor to affecting the herding effect,and compared the model based on the Akaike information criterion,the model combined the information transmission factors and investor sentiment factors is better than the model which containing only a single factor.(4)The impact of internet stock community communication on the market has many levels of interaction relationship,so we should research the interaction relationship from the perspective of complex systems.First,the amount of information dissemination and exchange intensity in the Internet stock community has a significant impact on investor sentiment.Information dissemination will directly strengthen the impact of the market price change(positive or negative)direction on investor sentiment;Information dissemination not only has a direct significant impact on investor sentiment,and also has a moderating effect for positive correlation between the market returns(mixed)and investor sentiment.Secondly,the information dissemination in the broad market system has a dominant position,the market price changes has a guidance position,herding behavior and investor sentiment in the system has a role of intermediary transmission.Information dissemination directly affects the market price changes,and through the directly guide relationship of the herding behavior and investor sentiment,it also can affects the market price changes in the regulation by herding behavior and investor sentiment.Again,herding behavior has a central role in the market system.Herding behavior have a two-way causal relationship with other factors,so that when the general market system overall showed transmission direction for the dissemination of information to the market,the changes in market prices also has effects on herding behavior through feedback,thereby affecting the reverse guide for information dissemination and investor sentiment.Herding behavior not only shows its endogenous characteristics impacted by the market,and its role in the transmission of the bridge also allows information dissemination and investor sentiment affected by the endogenous characteristics of the market.