在线社区支持倾向对股市收益和波动的影响

Impact of online community support tendencies on returns and volatility in Chinese stock market

互联网技术的飞速发展使得非专业的个体投资者可以通过在线金融社区分享信息并表达倾向.本文利用东方财富网的5178824条用户评论,运用卷积神经网络的分类算法,提取并测量了在线用户对未来市场看涨或看跌的支持倾向,并从市场收益和波动两个方面,检验了在线用户支持倾向及其一致性对股市的影响.结果表明,在线用户当期支持倾向对未来的股市收益具有显著的负向影响,支持倾向的一致性则会放大市场的波动幅度.进一步的证据表明,用户支持倾向很大程度上是基于股票市场的历史表现而形成,且具有一定的“羊群效应”.

The rapid development of Internet has enabled non-professional individual investors to share infor-mation and express their tendency through online financial community.Using 5178824 user comments on eastmoney.com,this paper uses the convolutional neural network(CNN)classification algorithm to extract and measure the support tendency of online users for the future market(i.e.bullish or bearish)and the impact of user support tendency on the market is tested from two aspects of market returns and volatility.The results show that the current user's support tendency has a significant negative impact on future stock market re-tums,and the consistency of support tendency will amplify the market's volatility.Furthermore,the user support tendency is significantly based on the historical performance of the stock market,and the support tendency has a certain“herd effect”.