Correlation Between Emotional Index And SSE 50 And CSI 500 Stock Index Futures Yield Rate

With the rapid development of the Internet and the explosive growth of various informat ion,new data sources provide a new method to study the emotional index.Through discussing the relationship between investors' network behavior and investment behavior,it is of great significance to analyze and quantify the impact of people' s behavior on the stock market,and even to predict the development of the stock market.In this paper,we construct the Shanghai 50 Emotion Index and the Shanghai 500 Emotion Index to represent the general mood and the small mood respectively.Based on the Internet text mining technology,this paper collects the comment text data in the forum of Dongfang Fortune Online Stock Exchange 50 Index Futures,classifies the texts by machine learning method,calculates the emotional score of the comment text,and gets the emotional index of Shanghai 50 Index Futures Day by weighted sum of the visits of the posts.Thispaper chooses five proxy variables of price-earnings ratio,price-to-net ratio,trading volume,panic index and net capital inflow as principal component analysis to get the sentiment index of investors of CSE 500 stock index futures.The relationship between the sentiment index and the return rate of corresponding stock index is discussed by constructing VAR models,and MA(1)-EGARCH(1,1)-EGARCH(2.1)models are constructed for these two indexes respectively.Its fluctuation law.It is found that the sentiment index and the yield of stock index futures affect each other and promote each other.Good news promotes investors' sentiment.Investors'high sentiment and accumulated confidence further promote the rise of yield,and vice versa.The negative investor sentiment caused by bad news outweighs that caused by good news in terms of time and extent.The sentiment index of small and medium-sized stocks reflects the opposite phenomenon of sentiment index of Shanghai 50 stock index.The react ion time of mood change caused by good news in this market is longer than that caused by bad news.Finally,based on the different characteristics of the construct ion of the CSE 500 sentiment index and the Shanghai 50 sentiment index on the corresponding market returns,a large-and-small-market rotation strategy based on the sentiment index is formulated.Compared with the traditional strategy based on the rise and fall of the stock index,this strategy has higher returns and lower maximum withdrawal rate.The main innovation of this paper is that when constructing emotional index based on text categorization results,the ratio of post browsing volume is used as the weight to make the model fit better,and the emotional index fluctuation is used to replace the traditional index fluctuation as the criterion for judging the position of the stock market to construct the large-and-small-disk rotation strategy,so as to get better results.