论文总字数：25126字

摘 要

随着网络的普及，信息的产生与传播速度日益提高，网络上的大量信息能够迅速形成集聚式的网络舆情。在网络舆情的冲击下，投资者的关注度和信心会对上市公司的股价产生一定影响。在此背景下，研究中国股票市场中网络舆情与商业银行股价变动之间的关系以及二者之间影响形成的机制具有深远意义。我国银行存款保险制度在网络上引起了极大关注，在网络上形成一股金融舆情。本文基于商业银行视角，首先利用事件研究法分析我国存款保险制度的确立对商业银行股价的影响。在此基础上，选取百度指数作为网络舆情指标，深入分析网络舆情对银行业股价的影响。结果表明，市场上关于存款保险制度的网络舆情对银行业股价存在一定负面影响，这种负面影响对中小银行较为显著。进一步研究发现，投资者关注度可以影响市场流动性，网络舆情可以通过影响投资者关注度对上市公司股价产生影响。对于投资者来说，网络舆情指标可以作为其投资的参考。对于监管部门来说，网络舆情指标可以为监管部门更好地完善监管政策提供相关依据，促进我国股票市场的合理健康发展。

关键词：网络舆情、股价、事件研究法、存款保险

Abstract

With the popularization of the Internet, the information generation and dissemination speed are increasing day by day, and a large amount of information on the Internet can quickly form a centralized Internet public opinion. Under the impact of Internet public opinions, the attention and confidence of investors will have a certain impact on the stock prices of listed companies. In this context, it is of far-reaching significance to study the relationship between Internet public opinions and the stock price changes of commercial Banks in China's stock market and the mechanism of their influence. China's bank deposit insurance system has attracted great attention on the Internet, forming a financial public opinion on the Internet. Based on the perspective of commercial Banks, this paper firstly analyzes the impact of the establishment of deposit insurance system on the stock price of commercial Banks by using the event study method. On this basis, baidu index is selected as the index of Internet public opinion to deeply analyze the influence of Internet public opinion on the stock price of the banking industry. The results show that the Internet public opinions about the deposit insurance system in the market have a negative impact on the stock price of the banking industry, which is more significant for small and medium-sized Banks. Further research shows that investor attention can affect market liquidity, and Internet public opinion can influence the stock price of listed companies by influencing investor attention. For investors, Internet public opinion indicators can be used as a reference for their investment. For the regulatory authorities, Internet public opinion indicators can provide relevant basis for the regulatory authorities to better improve regulatory policies and promote the reasonable and healthy development of China's stock market.

KEY WORDS: Internet public opinion, Stock price, Event study, Deposit insurance

目录

摘要 I

Abstract II

第一章 引言 1

1.1 研究背景 1

1.2 研究意义 3

1.3 研究内容与框架 4

第二章 文献综述 5

2.1 网络舆情指数的相关研究 5

2.2 网络舆情对上市公司股价的作用机制 5

2.3 网络舆情对上市公司股价的影响路径 6

2.4 文献评述 6

第三章 实证模型与样本选取 7

3.1 事件研究法（Event Study） 7

3.2 引入网络舆情指标的股票定价模型 8

3.3 样本选取与描述性统计 9

第四章 实证研究 12

4.1 基于事件研究法的股票超额收益率分析 13

4.1.1 平稳性检验 13

4.1.2 估计窗口的相关性分析 14

4.1.3 事件窗口的超额收益率分析与参数检验 16

4.2 网络舆情指标与银行业股价之间的回归分析 18

4.2.1 平稳性检验 18

4.2.2 引入网络舆情指标的回归分析 19

4.2.3 网络舆情对上市公司股价影响的量价研究 19

第五章 结论与建议 22

5.1 结论 22

5.2 建议 22

致 谢 24

参考文献 25

第一章 引言

研究背景

银行业是我国金融体系的重要组成部分。我国银行数量众多、体量庞大，银行业的稳定是我国金融稳定的基础。

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