Research On The Irrational Investment Behavior In Chinese Stock Market

Since the 21st century,Chinese stock market has developed rapidly,but the problems brought about by the rapid development have gradually emerged.Along with the increasing number of information carried by the network,the types are more and more complicated.The investors are not only the publishers,disseminators and receivers of information,which lead to the information asymmetry of investors,which in turn affect investors'investment decisions.And inevitably lead to the occurrence of irrational behavior of investors.Since the behavior of investors has a significant impact on the financial market,we urgently need to clarify the relationship between the irrational behavior of investors and the stock market.First,the text data of the mainstream financial and economic forums are obtained through the technology of network data grabbing.The unstructured text data are systematically mined and analyzed by using the technology of text mining.The captured information is filtered and cleaned up,and word segmentation is done.Five classification models are used for text categorization,namely Naive Bayesian,Support Vector Machine,Logical Regression,Random Forest and Xgboost.Then the index EII reflecting irrational investment behavior is constructed,and the EII index values are calculated according to the classification results.In order to study the relationship between investors'irrational behavior and stock market,the irrational investment behavior index EII is added to the stock return model.The characteristics of stock market are analyzed.A five-factor model is constructed by irrational investment behavior index and F-F four factors.The relationship between irrational investment behavior and stock return is analyzed,and the index of investors'irrational behavior is found to be the index of investors'irrational behavior.The positive linkage of EII in China's stock market is a systematic factor affecting stock market returns.The main conclusions of the paper are as follows:(1)By comparing five kinds of classification models,the classification method of the naive Bayesian method is most suitable for the text data(2)Through the construction of investors' irrational behavior indicators and the characteristic analysis of stock market,it is found that the trend of the Shanghai and Shenzhen 300 Index and the Shanghai and Shenzhen 300 Index futures are consistent with the trend of irrational behavior indicators.(3)By constructing a five-factor model,the results show that investors' irrational behavior is a positive systemic factor affecting stock returns.