随着金融市场和互联网技术的不断发展,有关互联网投资者关注的研究成为新兴领域之一. 文章运用门槛面板模型,基于东方财富网股吧关于创业板股票的发帖量数据构建反映中国创业板市场的投资者关注指数,并将其作为门槛变量,研究互联网投资者关注对股票成交量和收益率的影响, 进而分析牛市和熊市市场状态下的不同表现. 结果表明,总体上,投资者关注度对市场成交量以及股票收益率具有显著的门槛效应. 在牛市和熊市下,受追涨心理和恐慌心理等投资者心理预期与行为的影响,投资者关注对股市的影响具有不同的表现特征. 文章的研究对投资者进行资产配置,公司进行信息披露,监管者完善监管制度具有重要意义.

With the development of financial markets and internet technology, the investor attention has become a new field in behavioral finance. We construct an investor attention index with post volumes of Chinese growth enterprise market on www.eastmoney.com and adopt it as the threshold variable. By using the threshold panel model, we analyze the threshold effects of investor attention on trading volumes and returns of the growth enterprise market under different market conditions. We find that in general, investor attention has significant threshold effects on trading volumes and returns. In a bull market and bear market, the threshold effects both exist. Due to the investors' expectations and behaviors such as chasing rising stocks during the bull market and panic during the bear market, the effects of investor attention on the growth enterprise market have different characteristics. The results would supply useful information on asset allocation for investors, information disclosure for companies and regulations for managers.