网络舆情对股票收益率的影响——基于微博数据的分析

The Influence of Internet Public Opinion on Stock Returns ——Based on The Analysis of Microblogging Data

随着网络的发展以及我国资本市场的成熟,大部分网民开始从传统信息媒介转移到信息量更大的互联网平台。由此,股市的网络舆情也孕育而生。通过主成分分析法构建网络舆情指数,运用VAR模型及TGARCH-M模型探究了网络舆情与股票收益率之间的关系。研究发现,股市术语的总体涨跌信号,对股市行情存在显著影响,同时可以预测短期的股市行情。进一步,本文对证券监管机构、证券投资者等提出了具体的建议。

With the development of the network and the maturity of China s capital market,most netizens have begun to move from traditional information media to more information-rich Internet platforms.As a result,the online market sentiment has also emerged.constructs the network public opinion index by using principal component analysis method,and uses VAR model and TGARCH-M model to explore the relationship between network public opinion and stock return rate.The study found that the three hypotheses proposed in this paper:H1 “the overall ups and downs of the stock market term,have a significant impact on the stock market”,H2 “the overall rise and fall of the stock market terminology,can predict the short-term stock market”,H3 “stock market The overall ups and downs of the term,which have different degrees of impact on stock market movements,are all established.Further,specific recommendations have been made to securities regulators and securities investors.”