网络舆情对投资者羊群行为的影响研究

Research on the Impact of Internet Public Opinion on Investors’ Herding Behavior

摘要: 随着我国资本市场的不断发展，网络舆情作为一种非传统信息载体，正日益成为影响投资者行为的重要因素。本文基于2019年12月至2024年12月深交所A股上市公司日度数据，从行为金融视角出发，研究网络舆情对投资者羊群行为的影响效应及其内在机制。本文创新性地引入正面网络舆情、负面网络舆情与传播度指标，使用高频微观数据构建固定效应面板回归模型，实证发现，网络舆情对投资者羊群行为存在显著的影响，正面舆情有助于缓解投资者盲目跟风，而负面舆情则可能促进投资者羊群行为。在异质性分析中，网络舆情对投资者羊群行为的影响存在交易方向差异，买方行为更易受到正面情绪激励，而卖方行为更易被负面舆情驱动。此外，本文发现舆情的传播度的放大效应也显著增强了舆情对羊群行为的影响。

Abstract: With the continuous development of China’s capital market, internet public opinion—an unconventional information carrier—has become an increasingly important factor influencing investor behavior. Based on daily data of A-share firms listed on the Shenzhen Stock Exchange from December 2019 to December 2024, this paper examines, from a behavioral-finance perspective, the effect of internet public opinion on investors’ herding behavior and its underlying mechanism. Innovatively, we introduce positive internet sentiment, negative internet sentiment, and a dissemination-intensity indicator, and employ high-frequency micro-data to construct a fixed-effects panel-regression model. Empirical results show that internet public opinion significantly affects herding behavior: positive sentiment helps alleviate blind following, whereas negative sentiment tends to intensify it. Heterogeneity analysis reveals that the impact differs across trading directions—buy-side behavior is more susceptible to positive sentiment, while sell-side behavior is more driven by negative sentiment. In addition, we find that the amplification effect of dissemination intensity markedly strengthens the influence of public opinion on herding.