网络搜索、投资者情绪与股票市场

发布时间：2018-03-09 23:24

本文选题：网络搜索　切入点：投资者情绪　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：大数据信息和股票改革是近年来经济发展热点,探索大数据信息作用于股票市场投资领域的机制就具有十分重要的现实意义。国内外的理论研究和实践证明,投资者情绪对股票市场未来趋势具有一定的预测作用与溢出效应,但对于利用大数据网络搜索信息构造股票市场先行情绪指标的研究仍然存在空白；我国作为世界第二经济大体,拥有上海证券交易所与深圳证券交易所两个证券交易市场,它们是我国资本流通的主要市场,是经济发展的主要风向标。因此基于网络搜索信息构造适应我国股票市场的投资者情绪指数,并探究投资者情绪与股票市场之间的相互溢出效应就具有一定的理论和研究价值。本文综合运用统计学、时间序列模型、金融学等理论方法,借鉴国内外关于投资者情绪与股票市场的研究成果和实践经验,对我国沪深投资者情绪与股票市场进行多维度的研究。本文在深入理解投资者情绪与股票市场内涵的基础上,首先利用文本挖掘技术构造以“股票市场”为核心的谷歌网络搜索初始词库,随后利用时差相关系数法、随机森林、CART、神经网络等算法对260多个候选关键词进行信息约简,并利用主成分和随机森林重要性方法分别构造了具有先行预测作用的沪深两市投资者情绪指数；其次利用VAR(n)-BEKK(1,1)-GARCH模型分别探讨了沪深投资者情绪与股票市场指数、沪深投资者情绪等三种关系之间的溢出效应机制,最后基于它们之间的溢出效应关系对投资者情绪与股票市场进行综合评价。主要结论有：一是随机森林算法具有较好的变量筛选作用；二是社会文本信息与网络数据对推断我国投资者情绪具有良好的信息参考价值；三是基于谷歌网络搜索数据所构建的投资者情绪对沪深两市具有良好的预测作用；四是投资者情绪在沪深两市、不同时期存在差异；五是沪深两市的投资情绪与市场指数之间存在联动机制；六是沪深两市的投资者情绪与市场指数都存在较强烈的波动反自身性；七是沪深两市的投资者情绪与市场指数分别存在双向溢出效应；八是沪深两市投资者情绪存在跨市溢出效应。
[Abstract]:Big data's information and stock reform has been a hot spot of economic development in recent years, so it is of great practical significance to explore the mechanism of big data's information acting on the field of investment in the stock market. Investor sentiment has certain predictive effect and spillover effect on the future trend of stock market, but there is still a blank in the research of constructing stock market leading emotion index by using big data network search information. As the second largest economy in the world, China has two securities trading markets, the Shanghai Stock Exchange and the Shenzhen Stock Exchange, which are the main markets for the circulation of capital in China. It is the main vane of economic development, so it has certain theoretical and research value to construct the investor sentiment index based on the network search information to adapt to the stock market of our country, and to explore the mutual spillover effect between investor sentiment and stock market. This paper synthetically uses statistics, time series model, finance and other theoretical methods to learn from the research results and practical experience of investor sentiment and stock market at home and abroad. Based on the deep understanding of investor sentiment and the connotation of stock market, this paper makes a multi-dimensional study on investor sentiment and stock market in Shanghai and Shenzhen. First of all, using text mining technology to construct the initial lexicon of Google Web search based on "stock market", then using the method of time-difference correlation coefficient, stochastic forest cart, neural network and other algorithms to reduce the information of more than 260 candidate keywords. Using the principal component and the stochastic forest importance method, the investor sentiment index of Shanghai and Shenzhen stock markets is constructed, and the investor sentiment index and stock market index of Shanghai and Shenzhen stock markets are discussed by using the VARN model and the VARN BEKKGARCH model, respectively. The spillover effect mechanism between the three relationships, such as investor sentiment in Shanghai and Shenzhen, Finally, the investors' sentiment and stock market are evaluated based on their spillover effects. The main conclusions are as follows: first, the stochastic forest algorithm has better variable screening function; Second, the social text information and the network data have the good information reference value to infer our country investor sentiment, third, the investor sentiment based on the Google network search data has the good forecast function to the Shanghai and Shenzhen stock market; Fourth, investor sentiment is different in Shanghai and Shenzhen stock markets in different periods, and fifth, there is a linkage mechanism between investment sentiment and market index in Shanghai and Shenzhen stock markets. Sixth, investor sentiment and market index of Shanghai and Shenzhen stock market have strong fluctuation and anti-self, seventh, investor sentiment and market index of Shanghai and Shenzhen stock market have two-way spillover effect respectively. Eight is Shanghai and Shenzhen stock market investor sentiment exists cross-market spillover effect.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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