网络平台互动与股票异质性风险

《财经研究》 2022年48卷第10期 页码：153 - 168  online：2022年10月3日

网络平台互动与股票异质性风险

Online Platform Interactions and Stock Idiosyncratic Risks

作者（中）：徐寿福 , 郑迎飞 , 罗雨杰

作者（英）：Xu Shoufu, Zheng Yingfei, Luo Yujie

作者单位：上海对外经贸大学 金融管理学院，上海 201620

摘要：深交所“互动易”和上交所“上证e互动”平台的上线，为上市公司与投资者之间的信息沟通提供了更加直接和快捷的渠道，但也可能会加剧信息传播的不平衡性，在互联网信息爆炸的现实背景下产生大量“噪音”信息。文章利用投资者与上市公司的互动问答数据，检验了网络平台互动对上市公司股票异质性风险的影响及其机制。研究发现，网络平台互动会放大投资者意见分歧，加剧上市公司的股票异质性风险。而卖空限制的放松、公司信息透明度的提高以及金融机构投资者持股，能够显著抑制网络平台互动加剧股票异质性风险的作用。文章丰富了股票异质性风险驱动因素和网络平台互动影响效应的研究，而且对于投资者、上市公司和监管层都具有重要的启示。

关键词：异质性风险; 网络平台互动; 投资者意见分歧

Summary: Although the online operations of the Shenzhen Stock Exchange’s “Hudongyi” platform and the Shanghai Stock Exchange’s “SSE E-Interaction” platform provide more direct and immediate channels for the information communication between listed companies and investors, in the realistic background of the huge internet information and high proportion of retail investors in Chinese capital market, they may increase the unbalance of information diffusion and produce much “noise”. This will reshape the beliefs of investors in the process of valuation together with investors’ limited attention and different ability of information processing, which affects investors’ opinion divergence and in turn drives the changes of stock idiosyncratic risks. Stock idiosyncratic risks matter for asset pricing, corporate investment and financing, the stability of capital market and macro economy significantly. As a result, there is great importance to investigate the impact of online platform interactions on stock idiosyncratic risks theoretically and practically. By employing a textual analysis method, this paper constructs some proxies to measure the extent of online platform interactions and examines the impact of online platform interactions on the stock idiosyncratic risks of listed companies. The results show that online platform interactions between investors and listed companies will magnify investors’ opinion divergence and in turn increase the stock idiosyncratic risks of listed companies. Furthermore, relaxation of short-selling restriction, increase of corporate information transparency and shareholdings of financial institutional investors will restrain the positive effect of online platform interactions on stock idiosyncratic risks significantly. This paper contributes to the literature in several aspects: First, different from exploring the single information transferring and searching behavior of investors, it provides richer explanation for the production of stock idiosyncratic risks from the perspective of interactive information disclosure. Second, it demonstrates the evidence about the negative effect of online platform interactions, which provides more comprehensive basis for evaluating the function of online platform and improving this new method of information communication. Third, it provides additional evidence for the question whether online platform interactions between investors and listed companies are informative. In addition, the conclusion also has important practical implications: For investors, it is important to pay attention to the existence and impact of stock idiosyncratic risks during their online platform interactions with listed companies. At the same time, listed companies need to improve the quality of online platform interactions with investors, and decrease the positive drives of online platform interactions on stock idiosyncratic risks. Lastly, it is necessary for regulators to recognize the economic effect of online platform interactions comprehensively, and in turn advance the healthy development of capital market.

Key words: idiosyncratic risks; online platform interactions; investors’ opinion divergence 

DOI：10.16538/j.cnki.jfe.20220614.102

收稿日期： 2022-03-07

基金项目：教育部人文社会科学研究规划基金项目（21YJA790067）

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