本文選題：網(wǎng)絡(luò)輿論　切入點：情感得分　出處：《上海師范大學(xué)》2017年碩士論文

【摘要】：行為金融學(xué)研究至今,從微觀和宏觀延伸出兩個方向,一個是從微觀角度探索認(rèn)知心理如何影響人的行為,另一個是對金融市場中異象的解釋。投資者情緒會影響投資者行為,而投資者的非理性行為又會影響資產(chǎn)定價,造成金融市場的非有效性。因此,如何更為準(zhǔn)確的識別、判斷網(wǎng)絡(luò)輿論信息對股票價格短期波動的影響,理清網(wǎng)絡(luò)輿論與股票價格之間的互動效應(yīng),為相關(guān)政策的實施提供依據(jù),就顯得意義十分重大了。本文主要是基于投資者情緒對股票價格短期波動進(jìn)行分析,其中投資者情緒主要來自網(wǎng)絡(luò)輿論。將投資者情緒引入模型,建立了投資者情緒與股票收益率的VAR模型,并進(jìn)行了格蘭杰因果關(guān)系檢驗,脈沖響應(yīng)分析和方差分解。通過這一系列分析,本文得到的主要結(jié)論如下:(1)投資者情緒。對一般投資者分析而言,都帶有一定程度的間接性,本文中采用的是基于股吧網(wǎng)民評論的文本內(nèi)容來量化投資者情緒,這些評論的內(nèi)容往往是投資者或者市場的關(guān)注者真實情緒的表達(dá),因此具有直接性和更強的真實性,相對間接投資者情緒價值更大。(2)評論的情感得分。本文引入了投資者情感值這一指標(biāo),投資者的情感值主要基于股吧的股民評論,并在每條評論中分正向得分和負(fù)向得分,最終評論的得分為正向得分減負(fù)向得分,利用得分的正負(fù)號就可以分辨該評論體現(xiàn)的投資者情感傾向,這樣就避免了用閾值來界定正負(fù)情感傾向的限制。(3)投資者情緒與股票價格短期波動的關(guān)系。第一,投資者情感值與股票市場各指標(biāo)之間都存在顯著的相關(guān)性,本文發(fā)現(xiàn)股價越高,收益率越高,成交量越多,投資者的情緒更容易傾向于正向、積極和樂觀。第二,投資者情緒與股票收益率互為格蘭杰因果原因,股票收益率會對投資者情緒產(chǎn)生較為明顯的沖擊作用。第三,投資者情緒的沖擊對股票收益率的影響大致呈正負(fù)交替狀態(tài),但影響程度從第10期開始逐漸減小趨近于0。第四,方差分解的結(jié)果也表明股價的短期波動不但受到自身擾動項的沖擊還受到投資者情緒變化率的沖擊,其自身沖擊對其自身的影響程度是逐步遞減的,而股票價格的擾動項對投資者情緒增長率的貢獻(xiàn)率是呈逐步遞增的趨勢,但增長得較慢。這也說明投資者情緒與股票收益率之間是相互影響的。
[Abstract]:So far, behavioral finance has been extended from the micro and macro perspectives. One is to explore how cognitive psychology affects human behavior from a micro perspective, and the other is to explain anomalies in financial markets.Investor sentiment will affect investor behavior, and investors' irrational behavior will affect asset pricing, resulting in non-validity of financial markets.Therefore, how to identify more accurately, judge the influence of network public opinion information on the short-term fluctuation of stock price, clarify the interactive effect between network public opinion and stock price, and provide the basis for the implementation of related policies, it is very important to judge the influence of network public opinion information on the short-term fluctuation of stock price.This paper mainly analyzes the short-term fluctuation of stock price based on investor sentiment, in which investor sentiment mainly comes from internet public opinion.This paper introduces investor sentiment into the model, establishes the VAR model of investor sentiment and stock return, and makes Granger causality test, impulse response analysis and variance decomposition.Through this series of analysis, the main conclusions of this paper are as follows: 1) investor sentiment.For the analysis of retail investors, there is a certain degree of indirectness. In this paper, the text content based on the comments of stock bar netizens is used to quantify investor sentiment.The content of these comments is often the expression of real emotion of investors or market followers, so it has direct and stronger authenticity, and the emotional score of comments is higher than that of indirect investors.The positive and negative sign of the score can be used to distinguish the investor's emotional tendency reflected in the comment, thus avoiding the use of the threshold to define the limit of positive and negative emotional tendency. / /) the relationship between investor sentiment and the short-term fluctuation of stock price.First, there is a significant correlation between investor emotional value and stock market indicators. This paper finds that the higher the stock price, the higher the yield, the more trading volume, the more positive and optimistic the investor sentiment is.Second, investor sentiment and stock yield are the causality of Granger cause and effect, and the stock yield will have a more obvious impact on investor sentiment.Third, the impact of investor sentiment on the stock yield is generally positive or negative alternates, but the impact from the 10th period gradually reduced to 0. 5%.Fourthly, the result of variance decomposition also shows that the short-term fluctuation of stock price is not only impacted by its own disturbance but also by the change rate of investor's emotion, and the influence of its own impact on itself is gradually decreasing.On the other hand, the contribution rate of stock price disturbance to the growth rate of investor sentiment is gradually increasing, but the growth rate is slow.This also shows that investor sentiment and stock returns are interplay.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：B842.6;F832.51

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本文編號：1714064