关键词: 情绪传染, 跨空间股价联动, 心理安全, 高频数据

Abstract: Based on the theory of “psychological safety zone”, this paper studies the influence mechanism of sentiment infection on spatial share price co-movement, and explores the law of and the reason for spatial differences of stock price co-movement. It utilizes the information from eastmoney.com to construct high frequency sentiment index and uses the space distance to measure psychological security. In addition, it studies the sentiment contagion and its impact on stock price co-movement under different psychological safety conditions. The results indicate that sentiment co-movement is the intermediary variable that affects the stock price co-movement by sentiment contagion, and the theory of “psychological safety zone” can provide a theoretical explanation for the influence mechanism of sentiment contagion on stock price co-movement. Moreover, stock price co-movement has spatial differences, the farther the space psychological safety distance, the weaker the stock prices co-movement. Further studies suggest that the stock price co-movement caused by sentiment contagion is driven by noise traders. The hourly high-frequency data can better capture the market performance of the impact of sentiment contagion on stock price co-movement. These conclusions provide a reference for scholars to further study stock price co-movement, for regulators to strengthen market management, and for investors to make investment decisions.

Key words: sentiment contagion, spatial stock price co-movement, psychological safety, high frequency data