Investor Sentiment From Guba Messages And The Predictability Of Stock Extreme Returns

Investor sentiment based on the Internet platform in the context of large data,inject new vitality into the relationship research between the sentiment and the stock market.For emerging markets such as China,the factors of investors of the relative lack of experience,More irrational behavior,excessive participation of mainstream media etc.expanded investor sentiment,exacerbate the volatility of the stock market,lead to the occurrence of extreme returns in the stock market.How to guide rational investment of investors,to prevent market risks and guide investors decision-making through the research of predictability of investor sentiment on return occurred extreme changes has important practical significance.This article selects Guba messages about Shanghai composite index from the sina finance,classifying guba messages by using the Bayes classification algorithm and Direct determination method,considering the click,content and number,this paper develops a comprehensive index to measure investor sentiment from three dimensions:tone,exposure and attention.And research on the relationship between investor sentiment and stock market from the perspective of extreme incomes.First of all,this paper discusses the correlation between investor sentiment and Shanghai index returns,investor sentiment and Shanghai index returns are positively related and not significantly negative.Then,the Granger causality results between investor sentiment and stock return on the full sample and different market show,that investor sentiment is not the Granger cause of index returns,and index returns is the Granger cause of investor sentiment.Then,through the comparison of the above empirical results found that investor sentiment index based on Bayes classification algorithm has more advantages in explaining the change trend of Shanghai index.Finally,study the predictability of investor sentiment to extreme returns,found that The further evidence indicates that the effects of investor sentiment on the different trend of extreme returns are asymmetric.Specifically,there is a significant predictability for the positive extreme returns.The conclusion can provide advices for investors to invest and regulators to perfect the market construction.