网络关注度与股票市场关系的研究—来自“一带一路”的证据

Research on Relationship between Network Attention and Stock Market—Evidence from “One Belt, One Road”

摘要: 网络搜索数据记录了数以亿计用户的搜索痕迹，可以体现大众对某一事物的关注程度，使用网络搜索数据进行科学研究是具有可行性的。本文以“一带一路”网络关注为研究对象，来研究网络关注与股票市场之间的关系。通过实证，证明了“一带一路”网络关注度与中证“一带一路”主题指数之间显著正相关，并且通过协整检验以及格兰杰因果检验，证明变量间存在长期稳定的均衡关系，且互为格兰杰因果关系。同时，研究中引入汇率这一变量，发现汇率对“一带一路”指数具有显著影响，但投资者对“一带一路”的网络关注与汇率之间并无关系。

Abstract: The Internet search data record hundreds of millions of users’ search traces, which can reflect the degree of public attention on certain things, and using it for scientific research is feasible. This paper uses “One Belt and One Road” network attention as the research object to study the rela-tionship between the network attention and the stock market. Through the empirical study, it is proved that there is a significant positive correlation between “One Belt and One Road” network attention and CSI “One Belt and One Road” theme index. And through cointegration test and Gran-ger causality test, a long-term stable equilibrium relationship between the variables is proved and there is a mutual Granger causality between them. At the same time, we introduce the exchange rate and find that the exchange rate has a significant impact on the CSI “One Belt and One Road” theme index, but there is no relationship between the investors’ network attention on “One Belt and One Road” and exchange rate.