Investor Sentiment Extracted From Internet Stock Message And Its Impact On Chinese Stock Market

With the popularity of the Internet and the increase of Internet users'participation,the information about stock market has exploded.Based on the new concept of"Internet +",it has been a hot topic in recent years to excavate investor sentiment and even its trading behavior data by using social media platforms such as Internet forums,micro-blog,blogs and so on.Investors in China's securities market are irrational,and a large number of individual investors pay more attention to the insider,policy and gossip that are not related to the fundamentals.They are vulnerable to market information interference,resulting in deviations in investors'behavior.At the same time,social media widely disseminates a large number of false negative information about the stock market,which affects investors'confidence and investment decision-making.Investors'psychological and behavioral factors will affect each other and thus produce convergence effect,resulting in the amplification of the wrong feelings of small groups and affecting their decision-making,thus causing severe turbulence in the whole stock market.Under the theoretical framework of behavioral finance,this paper studies the impact of investor sentiment on stock returns by constructing investor sentiment indicators based on stock evaluation,and provides a new idea for further exploring the characteristics of investors'behavior in Chinese stock market.This paper is divided into three parts,focusing on the text information of the stock forum to measure and construct investor sentiment indicators.Firstly,the definition of investor sentiment and the related theories of behavioral finance are elaborated(including the summary and summary of domestic and foreign literature).Secondly,the data sources of relevant variables and the construction of investor sentiment indicators are selected.Finally,the causality between investor sentiment and stock return is studied through Granger causality test in the way of establishing SVAR model.The interaction between investor sentiment and stock return is studied by structural impulse response analysis.Based on the theory of behavioral finance,this paper synthesizes the methods of crawler,text mining,Granger causality test and structural vector autoregressive model,summarizes the existing literature on investor sentiment theory,and constructs the investor sentiment index of Shanghai stock market based on stock bar post information.The empirical results show that,on the whole,investor sentiment has a positive impact on stock returns.Significant impact,but the stock return on investor sentiment promotion effect is weak,its impact is not significant.Combining with the market situation of the big bear market in 2018,the market has been impacted by the sharp fall of American stocks and the trade war between China and the United States.Stock prices have fallen continuously.Investors have formed pessimistic expectations for the whole market.For the reasons of"loss aversion"and"disposal effect",investors are more cautious and tend to invest in value.Investors are more likely to view market changes rationally and correctly,and stock closure.The impact of interest rate on investor sentiment shocks is instantaneous and unsustainable.Investor sentiment has a certain pulling effect and sustained impact on stock returns in bear market.These empirical results provide evidence for further understanding the behavioral characteristics of traders participating in stock bar reviews and for further research on the influence of investor sentiment on the market.