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

摘要： 基于心理安全区理论，研究情绪传染对跨空间股价联动的影响机理，并探究股价联动存在的空间差异规律及原因。利用股吧信息构建高频情绪指数，利用空间距离衡量心理安全性，在此基础上，研究不同空间心理安全条件下的情绪传染效率及其对股价联动的影响。研究发现：情绪联动是情绪传染影响空间股价联动的中介变量；心理安全区理论可以为情绪传染引起空间股价联动这一影响机理提供理论解释；股价联动具有空间差异性，空间距离越远，股价联动性越弱。进一步研究表明：这种由情绪传染引起的跨空间股价联动是由噪音交易者将承载情绪的噪音信息当作价值信息进行交易驱动的；高频数据（时）能更好地捕捉情绪传染对股价联动影响的市场表现。研究结论为更深入研究股价联动问题、监管者加强市场管理及投资者投资决策提供参考。

关键词: 情绪传染, 跨空间股价联动, 心理安全, 高频数据