股市媒体情绪差异的空间溢出效应：动态空间德宾方法

IF 2.1 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-03-24 DOI:10.1016/j.econlet.2025.112306

Manling Zhang , Jing Chen

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引用次数: 0

摘要

本研究探讨了媒体情绪分化对股市的空间溢出效应。我们利用 2005 年至 2022 年中国的公司和动态空间杜宾模型，记录了媒体情绪分化对股票价格的显著负空间溢出效应。媒体情绪分化不仅会影响一家公司的股价，还会影响周边地区的公司。这些溢出效应的时间动态值得注意：间接效应在短期内占主导地位，但在长期内会消失。这些发现为金融市场中媒体情绪和信息的跨地区扩散提供了新的思路。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Spatial spillovers of media sentiment divergence in the stock market: A dynamic spatial Durbin approach

This study investigates the spatial spillover effect of media sentiment divergence on the stock market. Using firms in China from 2005 to 2022 and a dynamic spatial Durbin model, we document significant negative spatial spillover effects of media sentiment divergence on stock prices. Media sentiment divergence not only impacts a company's stock price but also affects firms in neighboring regions. The temporal dynamics of these spillovers are noteworthy: the indirect effects dominate in the short term but disappear over longer horizons. The findings shed new light on the geographical diffusion of media sentiment and information across regions in financial markets.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.