Research On Investor Sentiment Based On Micro-Blog Text And Its Impact Shanghai Stock Market

Since the establishment of China's stock market,it has developed rapidly.However,there are still many areas to be improved in market supervision,policy formulation,the trading environment and so on.China's stock market often rises and falls irrationally due to changes in policy and the trading system,and the investor sentiment plays a role in fueling the situation.How to reasonably measure investor sentiment and explore its impact on the stock market is an urgent problem to be solved.With the popularity of the Internet,a large number of emerging media and communities represented by Weibo emerged as the times require.Weibo can obtain investors' views of stock market accurately and timely.These views can be used to measure the investor sentiment effectively,and then to explore its impact on the stock market.This study uses Weibo text as a data source to measure the investor sentiment and analyze its impact on the stock market.The Weibo text and the Shanghai Composite Index from July 2014 to January 2017 were selected for research.After that,the genetic algorithm is used to identify the emotional tendency of the words,and the emotional dictionary is obtained.Then,based on the sentiment dictionary,the rules of sentence pattern relations and text semantic are established to measure the Weibo sentiment.Finally,the Weibo sentiment and the news sentiment are taken as the proxy variables of the investor sentiment,and their VAR model with Shanghai stock market is constructed to analyze the impact of investor sentiment on the stock market.Based on the above research,this study draws the following conclusions:(1)The text sentiment classification method based on genetic algorithm is better than SVM classifier on the whole.This method has strong generalization for the sentiment analysis of Weibo text.(2)The volatility of Weibo sentiment is the Granger cause of return,and return is the Granger cause of the volatility of news sentiment.It shows that investors' opinions on Weibo may affect stock market returns,and the fluctuation of stock market prices may be reflected in news sentiment.(3)The Weibo sentiment has a greater impact on the stock market,while the news sentiment has less impact on the stock market.