媒体报道、投资者情绪与股指波动关系研究  

Research on media reports, investor sentiment and stock index volatility

作　　者：姚洪心[1] 刘明辉 

机构地区：[1]东华大学

出　　处：《价格理论与实践》2022年第9期150-153,207,共5页Price:Theory & Practice

基　　金：国家社会科学基金(19BJL113);教育部人文社会科学研究规划基金项目(15YJA790077)。

摘　　要：不同的媒体报道会影响投资者情绪,进而影响股票市场波动。本文基于投资者非理性视角,利用文本挖掘方式提取媒体报道值,并应用MGARCH-DCC模型分别从媒体态度乐观和悲观两种不同的报道视角,研究投资者情绪波动与上证50、沪深300、中证500及创业板指数波动的溢出效应。研究结论表明:(1)在媒体乐观与悲观报道态度下,四种指数与投资者情绪均呈现波动的负向溢出效应;(2)在媒体乐观报道态度下,四种指数与投资者情绪均呈现动态相关系数的时变特征,且中证500、创业板指数与投资者情绪相关性的时变特征更为显著;(3)在媒体悲观报道态度下,上证50及沪深300指数与投资者情绪波动的动态相关系数不再具有时变特征;而中证500及创业板指数与投资者情绪波动的动态相关系数的时变特征更为强烈。Different media reports affect investor emotion and then affect stock market fluctuations. Based on the irrational perspective of investors, this paper uses text-mining method to extract media report attitude values and applies MGARCH-DCC model to study the spillover effects of the investor emotion fluctuations with the fluctuations of the SSE 50, CSI 300, CSI 500 and the GEM index from two different media reporting perspectives of attitude optimism and pessimism. The research results show that:(1) Under both media attitude optimistic and pessimistic, the four indexes show a negative spillover effect of fluctuations with investor emotion fluctuations;(2) Under the media attitude optimistic, the dynamic correlation coefficient between four indexes and investor emotion shows a time-varying characteristic, and the time-varying characteristic is more significant in the dynamic correlation of CSI 500 and the GEM with the investor emotion fluctuations;(3)Under the media attitude pessimistic, the dynamic correlation coefficient between the SSE 50 and CSI 300 Index with the investor emotion fluctuations no longer has the time-varying characteristic, while the time-varying characteristic is Stronger in the dynamic correlation of CSI500 and the GEM with the investor emotion fluctuations.

关 键 词：媒体报道态度 投资者情绪 多元GARCH模型 

分 类 号：F832.51[经济管理—金融学] G212[文化科学—新闻学]