Research On Investor Sentiment And Stock Market-Perspective From Online Social Media

The impact factors of the stock market performance have always been a hot topic discussed by academics and investors.In addition to the economic fundamentals and the operation of the company,many studies show that investor sentiment can also play a role in the stock market performance.Especially in emerging markets such as China,the herd effect is prevailing among individual investors.At present,the academic measure of investor sentiment mainly relies on the security market transaction data,such as closed-end fund discount rate,IPO premium rate and other indirect indicators as an agent of investor sentiment.The accuracy of sentiment measures cannot be guaranteed.On the other hand,with the development of Internet and Web2.0 era,more and more people participate in the exchange and discussion of information in online social media,they also use Internet information to help them make decisions.As a platform for investors to exchange and discuss investment experiences and opinions,the stock forum contains abundant information that is worth studying.This paper studies the relationship between investor sentiment and stock market,from the innovative perspective of online social media and data mining.We use Python programming to download the post information from Sina stock forum and voting data from Sina online stock market survey.Through the use of textual analysis technology and machine learning algorithm,the paper constructs the sentiment index based on online data and makes an empirical study with the Chinese stock market.The study finds that online investor sentiment shows a high positive correlation with stock market return and turnover,and the investor sentiment can help forecast next day's stock return,but no obvious effect in the long run,while the impact on the turnover can last for longer than 10 days.In addition,based on the research results,this paper also provide a trading strategy for investors,and give suggestions for regulators in order to promote the healthy development of China's stock market.