个股投资者情绪与股票收益率的关系——基于股评信息视角的研究  

The Relationship Between Individual Stock Investor Sentiment and the Stock Yield——Based on the perspective of stock evaluation information

作　　者：樊鹏英[1] 杨音 张正平[1] 陈敏[2] FAN Peng-ying;YANG Yin;ZHANG Zheng-ping;CHEN Min(School of Economics,Beijing Technology and Business University,Beijing 100048,China;Academy of Mathematics and Systems Science,Chinese Academy of Science,Beijing 100190,China)

机构地区：[1]北京工商大学经济学院,北京100048 [2]中国科学院数学与系统科学研究院,北京100190

出　　处：《数学的实践与认识》2021年第16期305-320,共16页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71971004);“十三五”时期北京市属高校高水平教师队伍建设支持计划(CIT&TCD201904043)(CIT&TCD201804028);首都流通业研究基地资助(JD-ZD-2021-007)。

摘　　要：基于东方财富网股吧中单只股票的股评信息采用文本挖掘法建立个股投资者情绪指数,探讨个股投资者情绪与股票收益率的关系,并进一步探讨市值大小不同、行业不同以及市态不同的情况下个股投资者情绪与股票收益率关系的异质性.实证结果表明:个股投资者情绪对股票收益率存在着显著的正向影响且影响周期较短,股票收益率也会引起个股投资者情绪正向变动但具有一定的时滞;公司流通市值越大,个股投资者情绪和股票收益率的相互影响程度越小;个股投资者情绪与不同行业股票收益率变动的关系存在异质性,行业内竞争程度越高,个股投资者情绪与股票收益率变动的相互影响程度越小;相比牛市来说,熊市中个股投资者情绪与股票收益率的相互影响更显著.This paper uses text mining method to establish the stock investor sentiment index of individual stocks based on the stock comment information in the Stock bar of Oriental Wealth Website,discusses the relationship between stock investor sentiment and stock return rate,and further discusses the difference of the influence relationship between stock return rate and stock investor sentiment under different market capitalization,industry and market trends.The empirical results show that the investor sentiment of individual stocks has a significant positive influence on the stock return rate and the influence period is short.The stock return rate will also cause the investor sentiment of individual stocks to change positively,but with a certain time delay.The greater the market value of a company,the less the mutual influence between investor sentiment and stock yield.There is heterogeneity in the influence relationship between individual stock investor sentiment and stock return changes in different industries.The higher the degree of competition in the industry,the smaller the influence between individual stock investor sentiment and stock return changes.Compared with the bull market,the mutual influence between investor sentiment and stock yield is more significant in the bear market.

关 键 词：股评信息 文本挖掘法 个股投资者情绪 股票收益率 

分 类 号：F832.51[经济管理—金融学]