社交媒体的投资者涨跌情绪与证券市场指数  

Investors' Bullish Sentiment of Social Media and Stock Market Indices

作　　者：程琬芸[1] 林杰[1] 

机构地区：[1]同济大学经济与管理学院,上海200092

出　　处：《管理科学》2013年第5期111-119,共9页Journal of Management Science

基　　金：国家自然科学基金(71071114);教育部人文社会科学研究项目(11YJC630216);上海市重点学科建设项目(B310);广东省自然科学基金(S2012010010794)~~

摘　　要：以新浪微博为数据来源,利用中文文本分析技术,从5个与证券相关的认证机构用户的微博和评论中提取出大多数投资者对证券市场未来走势涨跌的情绪倾向信息,构建社交媒体的投资者涨跌情绪指数,作为社交媒体的度量指标,运用Granger因果关系检验和脉冲响应函数方法,对社交媒体与证券市场之间的动态影响以及社交媒体对证券市场的预测能力进行分析。研究结果表明,社交媒体的投资者涨跌情绪指数与证券市场指数收益、成交量之间均存在正相关关系,证券市场指数的收益、成交量对社交媒体的投资者涨跌情绪指数的影响持续时间超过40个交易日;社交媒体的投资者涨跌情绪指数对证券市场指数收益仅短期影响显著;虽然无法帮助预测证券市场指数收益,但是能够成为预测证券市场指数的交易成交量的有效指标。社交媒体中富含了有助于投资决策的有效信息,实证研究结果有助于帮助投资者及时判断社交媒体中信息的有效性以及如何更好地利用社交媒体辅助他们的投资决策行为。Based on data from SINA Weibo and the Chinese text analysis techniques , the study extracted information of major in-vestors′sentiment orientation about the stock markets′ups and downs from SINA weibo and comments of five verified institutional users related with Chinese stock markets .Constructing bullish sentiment indices of investors on social media as the measuring in-dices of social media and based on Granger causality tests and impulse response functions , we analyze the dynamic relationship between social media and stock market , as well as the forecasting power of social media for stock market .The empirical results demonstrate that：①there are positive relationships among investors′bullish sentiment indices , stock market indices returns and trading volumes .The impacts of stock market indices returns and trading volumes on investors′bullish sentiment indices of social media last more than 40 trading days;and②contrarily, only the short-term impacts of investors′bullish sentiment indices of so-cial media on stock market indices returns are significant .Moreover , the investors′bullish sentiment indices of social media can help to predict stock market trading volumes , but not stock market indicesreturns .There is abundant and effective information in social media that is helpful for investment decision .The research conclusions will not only help investors to determine the effec-tive information of social media timely and correctly , but also help them to fully apply social media for making investment deci-sion.

关 键 词：社交媒体 证券市场指数 投资者涨跌情绪指数 文本分析 

分 类 号：F830.9[经济管理—金融学]