媒体报道、市场收益与投资者情绪——基于新闻分析视角

Media Reports,Market Return and Investor Sentiment——Based on the Method of News Analysis

搜集我国证券市场权威媒体对市场总体评论和分析的新闻报道,构建了媒体报道的衡量指标,并分析了媒体报道、市场收益率和投资者情绪的相互影响机制。研究结果显示,媒体报道的乐观词汇比率、乐观报道比率会对情绪有显著的正向推动作用。其次,媒体报道密度、媒体的乐观预测对情绪波动没有显著影响。最后,对牛熊市不同市场环境下的分析表明,牛市中投资者情绪对前期情绪、市场收益和媒体乐观程度等因素的变化更为敏感。

Collecting the reports from the authority media of Chinese securities market,building up media density and media optimistic index,the paper analyzes the influence mechanism of interaction between media reports,market index returns and investor sentiment. The empirical results shows that the optimistic words ratio,optimistic reports ratio of the media reports have a significant positive impact on investor sentiment,and the density of the reports,optimistic forecast ratio has no significant effect on it. Finally,considering of the market state,the investor sentiment has a higher sensitivity to the market returns and media report when in the prosperity of the market condition.