投资者情绪对上证指数价格波动的影响研究——以股吧为例

Research on the Influence of Investor Sentiment on the Price Fluctuation of Shanghai Stock Index——Taking Stock Bar as an Example

随着互联网技术的快速发展,股票论坛、新浪财经等网络金融媒体受到越来越多的关注。本文利用Python软件中的爬虫技术获取股吧2020年5月21日—2021年5月18日的每日评论数据,捕捉股民的每日情绪,通过构造情绪指数研究投资者情绪的波动对上证指数价格波动的影响关系。研究发现:情绪指数是上证指数价格波动的格兰杰原因,而且当日股民情绪对次日上证指数价格波动影响最大。

With the rapid development of Internet technology, stock forum, sina finance and other online financial media have gradually attracted more and more attention. This article uses the crawler technology of Python software to obtain the daily comment data of stock bar from May 21, 2020 to May 18, 2021, captures the daily sentiment of stockholders, and studies the fluctuation of investor sentiment on the price fluctuation of Shanghai stock index by constructing sentiment index. The results show that: sentiment index is the Granger cause of the price fluctuation of Shanghai stock index, and the investor sentiment of the day has the greatest impact on the price fluctuation of Shanghai stock index of the next day.