Research On The Relationship Between Sina Weibo Message And Stock Market

With the development of Internet applications,news information not only by the newspaper,government,official release,companies,individuals and organizations are the release of information sources,And spread in a large amount.Investors are not only the receivers of information,but also the distributors and disseminators of information.I choose the statistics of Shanghai Composite Index and Sina Weibo news from August 19,2016 to June 30,2017.The reason for choosing this interval is that the stock market trend is relatively rational,there is no situation of rapid skyrocketing or sharp panic,Through the search of keywords and the use of text data mining technology,we collected daily Sina Weibo platform news platform information related to the stock market.Based on behavioral finance theory,investor focus theory and investor sentiment theory,this paper analyzes the relationship between Sina Weibo platform news and investors' attention and investor sentiment.Through the daily number of news related to the stock market,Weibo investors attention index,on the basis of each message emotional analysis,divided into positive emotions and negative emotions containing news,build investor sentiment index.Using the Sina Weibo Investor Attention Index,Sina Weibo Investor Sentiment Index,the closing price of the Shanghai Composite Index,the Shanghai Composite Index,the Shanghai Stock Exchange trading volume,and the correlation analysis,we constructed VAR models,Granger causality analysis,impulse response analysis.When the network information related to the stock market increases,investors'attention to the stock market will be raised and the possibility of the transaction increased,Eventually resulting in higher stock market turnover.Among the network information related to the stock market,the more messages optimistic about the market,the higher the market sentiment,the better the stock market,and the stock market more easily gain excess returns.When the network information related to the story is pessimistic about the market The proportion of news more,the market prone to pessimism,eventually reached the transaction,eventually leading to the decline in stock market yields.