| With the rapid development of internet technology,we are in the era of information explosion.Online financial information has become a new important source of financial information and a lot of research has proved that the financial news emotional intensity has a certain impact on the stock market volatility.The financial market is a complex dynamic system,the impact is non-linear andcan not simply be described by a linear model.Therefore,this paper uses multifractal detrended cross-correlation analysis(MF-DCCA)model to examine the correlation between emotional intensity and stock market volatility.This paper examines selected financial news from October 2015 to October 2016 and the yield rate and trading volume of Shanghai stock market and Shenzhen stock market.This paper firstly builds the emotional dictionary and does research on the sentiment analysis method about online financial news,then uses the multifractal detrended cross-correlation analysis to study the cross-correlation between online financial news emotional intensity and the fluctuation in different time windows of Shanghai stock market and Shenzhen stock market.The empirical results show that online financial news emotional intensity and the fluctuation of Shanghai and Shenzhen stock market have multiple fractal characteristics.On the cross-correlation between online financial news emotional intensity and stock market yield rate,Shanghai and Shenzhen stock market have similar properties: online financial news emotional intensity and stock market yield rate have a negative correlation.On the cross-correlation between online financial news emotional intensity and stock market trading volume,there is a negative correlation between online and financial news emotional intensity and stock market trading market.At the same time from the hurst index can be seen that online financial news emotional intensity has an impact on the market but its impact is limited. |
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