微博情绪与中国股市:基于协整分析

发布时间：2018-01-18 15:30

本文关键词：微博情绪与中国股市:基于协整分析　出处：《系统科学与数学》2014年05期 　论文类型：期刊论文

【摘要】：从情绪的角度入手揭示股市涨跌变化的规律一直是心理学,经济学等行为学科的学术兴趣点所在.近些年来,借助互联网平台数据构建社会大众情绪指标,进而探讨情绪与股市关系问题的研究成为该领域的研究热点.首先,文章借助信息科学技术搜集了微博情绪时间序列数据,并以此构建了与股市高度相关的微博情绪综合指数.然后,采用协整检验,误差修正模型等计量经济学方法,探索了微博情绪综合指数与股市走势之间的关系.检验结果发现,微博情绪综合指数与同期的上证指数以及下一个交易日的上证指数之间存在显著的长期均衡关系.而且微博情绪综合指数对下一交易日上证指数收盘价具有显著的预测作用.
[Abstract]:It is always the academic interest point of psychology, economics and other behavioral disciplines to reveal the law of stock market fluctuation from the perspective of emotion. In recent years, using the data of Internet platform to construct social emotion index. Furthermore, the research on the relationship between emotion and stock market has become a hot topic in this field. Firstly, the paper collects Weibo emotional time series data with the help of information technology. Based on this, we construct the Weibo emotional composite index which is highly related to the stock market. Then, we use the co-integration test, error correction model and other econometric methods. This paper explores the relationship between the Weibo sentiment composite index and the trend of the stock market. There is a significant long-term equilibrium relationship between the Weibo emotional Composite Index and the Shanghai Stock Exchange Index in the same period and the Shanghai Stock Exchange Index in the next trading day. Moreover, the Weibo emotional Composite Index has a significant effect on the closing price of the Shanghai Stock Exchange Index in the next trading day. The predictive effect of
【作者单位】：南开大学社会心理学系;华东师范大学软件学院;
【基金】：国家重点基础研究发展计划(973计划)项目课题(2010CB731404) 国家社科基金重大项目(12&ZD218);国家社科基金重点项目(12ASH006) 天津市教委社会科学重大资助项目(2012ZD) 教育部人文社会科学研究青年项目(11YJC190004)资助课题
【分类号】：F832.51
【正文快照】： i引言股市作为上市公司融资和投资者投资的重要渠道,在市场经济的运行中发挥着资源优化配置的作用,是推进市场经济不断向前发展的动力.在股市运行中,股票价格的高低变化直接反映了人们对市场的信心和未来经济走势的预期.经济周期理论认为,经济在运行中会出现扩张与紧缩交替更

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