微指数、百度指数与上证综指收益率预测  

Micro Index,Baidu Index and The Prediction of Shanghai Stock Exchange Composite Index

作　　者：陆慧玲 魏宇 王考考 LU Huiling;WEI Yu;WANG Kaokao(School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China;School of Finance,Yunnan University of Finance and Economics,Kunming 650000,China)

机构地区：[1]西南交通大学经济管理学院,成都610031 [2]云南财经大学金融学院,昆明650000

出　　处：《信息系统学报》2019年第1期87-98,共12页China Journal of Information Systems

基　　金：国家自然科学基金(71371157、71671145);教育部人文社会科学基金规划项目(15YJA790031、16YJA790062.17YJA790015.17XJA790002).

摘　　要：网数据记录了投资者的微观情绪信息和搜索关注,同时也为研究股票市场宏观运行规律提供了海量的数据基础和新的研究视角。本文利用新浪微博与百度搜索引擎两个不同类型的平台数据,分别构建了反映股票市场投资者情绪和关注的看涨指数。进一步从信息供求视角出发,结合行为金融学的相关知识,揭示其内在机理,并运用计量模型实证了微博看涨指数、百度看涨指数与上证综指收益率之间的相互影响关系。实证结果表明,微博看涨指数与百度看涨指数具有明显的领先-滞后关系;能够反映投资者情绪的微博看涨指数对下一期的上证综指收益率有显著的正向影响,而反映投资者关注的百度看涨指数却无法提供对上证综指收益率有用的预测信息。Internet data records investors,micro-emotional information and search attention,it also provides a large amount of data base and new research perspective to study the macro operation rules of the stock market.This paper respectively constructs a bullish index on investor sentiment and attention in the stock market by using Sina microblog and Baidu search engine of two different types'platform data.Furthermore,from the perspective of information supply and demand,combining with the knowledge of behavioral finance,this paper reveals the inherent mechanism and uses the econometric model to empirically confirm the interaction between Weibo bullish index,Baidu bullish index and Shanghai composite index return.The empirical results show that Micro index and Baidu index have obvious leading-lag relationship;The Weibo bullish index reflecting the investor sentiment has a significant positive impact on Shanghai composite index return in the next period,but Baidu bullish index reflecting the investor attention can not provide useful predictive information on the Shanghai composite index return.

关 键 词：投资者情绪 信息供求 微指数 百度指数 上证综指 

分 类 号：F830.42[经济管理—金融学] F832.51