微博情绪与中国股市:基于协整分析

WEIBO EMOTION AND CHINESE STOCK MARKET:A STUDY BASED ON CO-INTEGRATION ANALYSIS

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.

Revealing fluctuation law of the stock market in the view of emotion has consistently been an academic interest in psychology, economics and other behavioral disciplines. In recent years, studies building public emotion indicators with Internet data and then exploring the relationship between emotions and the stock market grow up to be a hot topic in this field. Firstly, we collected Weibo emotional time series data by the help of information science, based on which we built a Weibo Emotion Composite Index highly correlated with the stock market. Then, we used Co- integration test, Error Correction Model and other econometric methods to explore the relationship between the Weibo Emotion Composite Index and the stock market. Results show that there exists a significant long-term equilibrium relationship between Weibo Emotion Composite Index and the current and next trading day＇s Shanghai Composite Index. And Weibo Emotion Composite Index has a significant predictive power for the closing price of next trading day＇s Shanghai Composite Index.