基于投资者情绪的股票价格短期波动的分析

发布时间：2018-04-05 08:57

本文选题：网络舆论　切入点：情感得分　出处：《上海师范大学》2017年硕士论文

【摘要】：行为金融学研究至今,从微观和宏观延伸出两个方向,一个是从微观角度探索认知心理如何影响人的行为,另一个是对金融市场中异象的解释。投资者情绪会影响投资者行为,而投资者的非理性行为又会影响资产定价,造成金融市场的非有效性。因此,如何更为准确的识别、判断网络舆论信息对股票价格短期波动的影响,理清网络舆论与股票价格之间的互动效应,为相关政策的实施提供依据,就显得意义十分重大了。本文主要是基于投资者情绪对股票价格短期波动进行分析,其中投资者情绪主要来自网络舆论。将投资者情绪引入模型,建立了投资者情绪与股票收益率的VAR模型,并进行了格兰杰因果关系检验,脉冲响应分析和方差分解。通过这一系列分析,本文得到的主要结论如下:(1)投资者情绪。对一般投资者分析而言,都带有一定程度的间接性,本文中采用的是基于股吧网民评论的文本内容来量化投资者情绪,这些评论的内容往往是投资者或者市场的关注者真实情绪的表达,因此具有直接性和更强的真实性,相对间接投资者情绪价值更大。(2)评论的情感得分。本文引入了投资者情感值这一指标,投资者的情感值主要基于股吧的股民评论,并在每条评论中分正向得分和负向得分,最终评论的得分为正向得分减负向得分,利用得分的正负号就可以分辨该评论体现的投资者情感倾向,这样就避免了用阈值来界定正负情感倾向的限制。(3)投资者情绪与股票价格短期波动的关系。第一,投资者情感值与股票市场各指标之间都存在显著的相关性,本文发现股价越高,收益率越高,成交量越多,投资者的情绪更容易倾向于正向、积极和乐观。第二,投资者情绪与股票收益率互为格兰杰因果原因,股票收益率会对投资者情绪产生较为明显的冲击作用。第三,投资者情绪的冲击对股票收益率的影响大致呈正负交替状态,但影响程度从第10期开始逐渐减小趋近于0。第四,方差分解的结果也表明股价的短期波动不但受到自身扰动项的冲击还受到投资者情绪变化率的冲击,其自身冲击对其自身的影响程度是逐步递减的,而股票价格的扰动项对投资者情绪增长率的贡献率是呈逐步递增的趋势,但增长得较慢。这也说明投资者情绪与股票收益率之间是相互影响的。
[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.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：B842.6;F832.51

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