基于微信文本挖掘的投资者情绪与股票市场表现

石善冲, 朱颖楠, 赵志刚, 康凯立, 熊熊

系统工程理论与实践 ›› 2018, Vol. 38 ›› Issue (6) : 1404-1412.

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系统工程理论与实践 ›› 2018, Vol. 38 ›› Issue (6) : 1404-1412. DOI: 10.12011/1000-6788(2018)06-1404-09
论文

基于微信文本挖掘的投资者情绪与股票市场表现

    石善冲1, 朱颖楠1, 赵志刚1, 康凯立1, 熊熊2,3
作者信息 +

The investor sentiment mined from WeChat text and stock market performance

    SHI Shanchong1, ZHU Yingnan1, ZHAO Zhigang1, KANG Kaili1, XIONG Xiong2,3
Author information +
文章历史 +

摘要

本文以基于微信文本挖掘的投资者情绪与上证指数收盘价、成交量为研究对象,研究了投资者情绪时间序列与收盘价、成交量时间序列之间的关系.研究结果验证了投资者三种情绪倾向对股票市场的影响方式和效果不同:基于微信文本挖掘的投资者消极情绪比例能够稳定预测上证指数收盘价,基于微信文本挖掘的投资者积极情绪倾向和中性情绪倾向比例的增减变动能够迅速引发滞后1天的上证指数成交量的增减变动.研究表明基于微信文本挖掘的投资者情绪对于预测股票市场表现有重要作用.

Abstract

This paper collects the investor sentiment mined from WeChat text, Shanghai securities composite index closing price and trading volume to research the relationship between the investor sentiment time series and the stock market performance time series. The result indicates that the way and the effect of three kinds of investor sentiment's influencing on the stock market performance are very different: the negative investor sentiment mined from WeChat text can predict Shanghai securities composite index's closing price steadily; the rate variation of positive and neutral investor sentiment tendency lagging the first day can cause the variation of Shanghai securities composite index's trading volume rapidly. The result shows that the investor sentiment mined from WeChat text is of great importance to researching and predicting the stock market performance.

关键词

微信文本挖掘 / 投资者情绪 / 股票市场表现

Key words

mined from WeChat text / investor sentiment / stock market performance

引用本文

导出引用
石善冲 , 朱颖楠 , 赵志刚 , 康凯立 , 熊熊. 基于微信文本挖掘的投资者情绪与股票市场表现. 系统工程理论与实践, 2018, 38(6): 1404-1412 https://doi.org/10.12011/1000-6788(2018)06-1404-09
SHI Shanchong , ZHU Yingnan , ZHAO Zhigang , KANG Kaili , XIONG Xiong. The investor sentiment mined from WeChat text and stock market performance. Systems Engineering - Theory & Practice, 2018, 38(6): 1404-1412 https://doi.org/10.12011/1000-6788(2018)06-1404-09
中图分类号: F830.9   

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基金

国家自然科学基金重点项目(71532009);国家自然科学基金重大国际合作项目(71320107003);天津市教委社会科学重大项目(2014ZD13);河北省社会科学基金一般项目(HB17GL031)
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