文本情绪对股指期货避险功能的非对称效应研究  

The Asymmetric Effect of Text Sentiment on the Hedging Function of Stock Index Futures

作　　者：唐勇 詹元毅 林娟娟 Tang Yong

机构地区：[1]福州大学经济与管理学院,福建福州350108 [2]福建省金融科技创新重点实验室,福建福州350108

出　　处：《金融理论与实践》2023年第7期98-107,共10页Financial Theory and Practice

基　　金：国家社科基金资助项目“公共数据资产市场化配置研究”(21BJY033)的阶段性成果。

摘　　要：利用数据挖掘手段从金融文本信息中提取情绪不仅可以准确地衡量资本市场中投资者情绪的变化,也有助于深入分析文本情绪与资本市场运行的关系。以上证50股指期货为例,在考虑情感信息对股指期货市场的非对称效应的情况下,探究文本情绪对股指期货市场避险功能的影响。研究发现,股指期货市场对于金融文本的负向情感信息的反应大于正向情感信息的反应,市场存在着正向杠杆效应;低落的文本情绪会对股指期货的避险能力有显著的负面影响。The use of data mining to extract emotion from financial text information can not only ac⁃curately measure the change of investor sentiment in the capital market,but also contribute to indepth analysis of the relationship between text sentiment and the operation of the capital market.Taking Shanghai 50 stock index futures as an example,this paper explores the influence of text senti⁃ment on the hedging function of stock index futures market under the condition of considering the asymmetric effect of emotional information on stock index futures market.The results show that the stock index futures market reacts more to the negative emotional information than to the positive emotional information,and there is a positive leverage effect in the market.Negative sentiment will have a significant negative impact on the hedging ability of stock index futures.

关 键 词：文本情绪 股指期货 避险功能 非对称效应 

分 类 号：F832.5[经济管理—金融学]