管理评论 ›› 2020, Vol. 32 ›› Issue (10): 72-82.

• 经济与金融管理 • 上一篇    

社会互动对投资者处置效应的影响——基于社交投资平台模拟交易的实证研究

孙毅1, 程晴1, 金全1, 郭琨1,2   

  1. 1. 中国科学院大学经济与管理学院, 北京 100190;
    2. 中国科学院虚拟经济与数据科学研究中心, 北京 100190
  • 收稿日期:2020-04-23 发布日期:2020-11-07
  • 通讯作者: 郭琨(通讯作者),中国科学院大学经济与管理学院副研究员,硕士生导师,博士。
  • 作者简介:孙毅,中国科学院大学经济与管理学院副教授,硕士生导师,博士;程晴,中国科学院大学经济与管理学院硕士研究生;金全,中国科学院大学经济与管理学院硕士研究生
  • 基金资助:
    国家自然科学基金面上项目(71673265);中央高校基本科研业务费专项资金项目(Y95402P)。

The Impact of Social Interaction on the Disposition Effect of Individual Investors: Empirical Analysis Based on Social Trading Platform

Sun Yi1, Cheng Qing1, Jin Quan1, Guo Kun1,2   

  1. 1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190;
    2. Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, Beijing 100190
  • Received:2020-04-23 Published:2020-11-07

摘要: 社会互动可以给投资者提供更多的信息,同时通过同群效应影响投资者的投资决策。本研究基于社交投资平台雪球网中投资者的在线社交及模拟交易数据,构建了社交中心性、社交发布内容、社交参与度和社交关注四个社会互动维度,分析了不同维度社会互动对投资者处置效应的影响。研究结果表明,社会互动会显著降低投资者的处置效应。更高的社交参与度,尤其是在交易时间内的社会互动,可以通过提高投资者卖出亏损股票的比例来降低处置效应。本研究同时给出了社会互动对处置效应影响的细分维度和影响渠道,拓展了已有社会互动与处置效应方面的学术研究。研究结论有助于政府从社会互动角度开展投资者教育,引导投资者进行良性互动,保护投资者权益,促进资本市场健康发展。

关键词: 社会互动, 处置效应, 模拟交易, 社交投资平台

Abstract: Social interactions can provide investors with more information and influence their investment decisions through peer effect. Using social and trading data of Snowball, a representative social trading platform in China, this paper constructs four dimensions of social interactions, including social centrality, social release content, social engagement, and social attention. Then the impact of social interaction in different dimensions on the disposition effect of investors is explored. The results show that social interaction can significantly reduce the disposition effect of investors. More social interaction, especially during trading hours, reduces the disposition effect by increasing the proportion of losses realized. This paper gives the influencing dimensions and channels of the impact of social interaction on disposition effect, expanding the existing research on social interaction and disposition effect. Our findings are helpful for the government to carry out investor education from the perspective of social interaction. Promoting positive interactions among investors will be conducive not only to protecting the rights and interests of investors, but also to developing a better capital market.

Key words: social interaction, disposition effect, simulated trading, social trading platform