社会情绪是否会影响股市收益——来自新浪微博的证据

发布时间：2018-01-03 08:20

本文关键词：社会情绪是否会影响股市收益——来自新浪微博的证据　出处：《山西财经大学学报》2017年02期 　论文类型：期刊论文

【摘要】：利用新浪微博所反映的社会情绪,检验了社会情绪对我国股市收益的影响。研究发现:社会情绪与股市收益存在显著的正相关关系,而社会情绪波动与股市收益负相关;社会情绪本身虽然具有显著的周内特征和月度特征,但其对股市收益的影响仅具有显著的节假日效应和"小公司效应",不存在周内效应和月度效应;社会情绪较为低落时,股市收益对社会情绪波动的敏感度较高,极高涨的情绪与股市收益具有显著的正向关系,而极低落的情绪与股市收益无关。
[Abstract]:Using the social emotion reflected by Sina Weibo, this paper tests the influence of social emotion on the stock market return of our country. The study finds that there is a significant positive correlation between social emotion and stock market return. The social emotion fluctuation is negatively correlated with the stock market return; Although social emotion itself has significant characteristics of week and month, its influence on stock market returns only has significant holiday effect and "small company effect", but there is no intraweek effect and monthly effect. When the social mood is low, the stock market returns are highly sensitive to the social emotion fluctuation, the extremely high emotion has the remarkable positive relation with the stock market return, but the extremely low mood has nothing to do with the stock market return.
【作者单位】：厦门大学管理学院;西南财经大学统计学院;
【基金】：国家自然科学基金重点项目(71232005);国家自然科学基金青年科学基金项目(71402155)
【分类号】：F832.51
【正文快照】： 一、引言虽然有效市场理论认为市场能够“消化”投资者的非理性行为,但现实市场中有限套利的存在使得市场中的非理性因素成为定价的重要影响因素,因此,噪声交易理论逐渐从投资者非理性偏差与股票市场的研究中发展出来(Black,1986;Barber andOdean,1999)[1,2]。关于投资者非理

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