Research On The Influence Of Investor Sentiment On Stock Returns Based On Text Mining

The early nineties of last century is the beginning of China's securities market.After years of hard work,the development of the securities market has made great progress and achieved remarkable results.However,compared with the mature securities markets in Europe and the United States,we must admit that there are still some gaps in market operation mechanism,laws and regulations and market supervision.Some investors are lack of rationality in the securities market of our country.Since the establishment of the securities market,they experienced many ups and downs.To some extent,the ups and downs of investors reflect the irrational and vulnerable to some insider information,so investors will be subject to market information interference.there are overreaction and herding and a series of traditional finance that is not explained for the tranditional theory.In addition to the fundamentals of traditional financial theory affect stock returns,there are some psychological factors such as investor sentiment on stock returns in China's securities market.The paper studies the impact of investor sentiment on stock returns from the perspective of behavioral finance.The construction of investor's sentiment index is the basis to study the influence of investor's sentiment on stock returns.There are mainly two kinds of indexes to meas ure sentiment of investors.The first category is the direct index of investor's sentiment directly obtained through questionnaire.The second category is an indirect indicator of the objective data that reflects investor sentiment through collation.Indirect indicators include single investor sentiment indicators and composite investor sentiment indicators.All of this index has its advantages and disadvantages.The paper selects the comprehensive investment sentiment index,uses the text mining technology to quantify the network information,crawls the data by using the web crawler,and calculates the text.Select the consumer confidence index,turnover rate,new accounts,price-earnings ratio,volume,text,using the Baker and Wurgler methods and principa l component analysis to build investor sentiment indicators.This article selects the Shanghai Stock Index to measure the return rate of stock index.The variables passed the test of ADF.Through the Granger causality test,we prove that the investor's sentiment index and the stock return rate each other cause and effect.Finally,it proves that investor sentiment has a positive impact on the stock return.