基于微信文本挖掘的投资者情绪与股票市场表现

本文以基于微信文本挖掘的投资者情绪与上证指数收盘价、成交量为研究对象,研究了投资者情绪时间序列与收盘价、成交量时间序列之间的关系.研究结果验证了投资者三种情绪倾向对股票市场的影响方式和效果不同:基于微信文本挖掘的投资者消极情绪比例能够稳定预测上证指数收盘价,基于微信文本挖掘的投资者积极情绪倾向和中性情绪倾向比例的增减变动能够迅速引发滞后1天的上证指数成交量的增减变动.研究表明基于微信文本挖掘的投资者情绪对于预测股票市场表现有重要作用.

The investor sentiment mined from WeChat text and stock market performance

This paper collects the investor sentiment mined from WeChat text, Shanghai securities composite index closing price and trading volume to research the relationship between the investor sentiment time series and the stock market performance time series. The result indicates that the way and the effect of three kinds of investor sentiment's influencing on the stock market performance are very different: the negative investor sentiment mined from WeChat text can predict Shanghai securities composite index's closing price steadily; the rate variation of positive and neutral investor sentiment tendency lagging the first day can cause the variation of Shanghai securities composite index's trading volume rapidly. The result shows that the investor sentiment mined from WeChat text is of great importance to researching and predicting the stock market performance.