互联网基金对股票市场的影响——基于大数据情绪指数的实证研究

The Influence of Internet Fund on the Stock Market:An Empirical Study Based on Big Data Sentiment Index

投资者在进行投资决策时易受到自身情绪的影响,并且投资者行为是影响金融市场间波动溢出的直接原因。运用文本挖掘技术对新浪微博2014年4月至2016年7月的博文进行文本分析和随机森林-主成分分析并构建微博大数据投资者情绪指数,根据投资者情绪指数研究互联网基金市场对股票市场的影响,结果表明互联网基金市场对股票市场具有波动溢出效应。

Behavioral finance believes that investors are vulnerable to the impact of their own emotions when making invest- ment decisions, and investors＇ behavior is the direct cause of the volatility spillover between financial markets. From the per- spective of the sentiment index, this paper makes a research on the influence of Internet fund market on stock market, on the basis of text mining technology and random forest-principal component analysis method on Sina Micro-blog to build big data in- vestor sentiment index from April 2014 to July 2016. The results show that the Internet fund market has volatility spillover effect on the stock market.