Research On The Influence Of Public Information Of Listed Companies On SSE 50 Market Fluctuation

A sound information disclosure system of listed companies is an important prerequisite for a fair,just and effective securities market.The disclosure of timely,complete and accurate information by listed companies in accordance with the law is an important basis for investors to obtain the basic information of listed companies and make investment decisions,as well as an important institutional guarantee for maintaining market order and efficiency.By analyzing various periodic reports of listed companies,market participants can obtain not only financial information such as financial changes and operating conditions of listed companies,but also non-financial information such as operation and management strategies and enterprise development prospects of a large number of listed companies.These information not only have an impact on the market valuation of investors,but also may affect investor sentiment,and then affect investment decisions and market behavior,resulting in stock market fluctuations.With the rapid development of network social platforms,especially the "we media" industry,various investment research reports and market research opinions emerge in an endless stream,which further magnifies the emotional differences among different investors in the market.Therefore,it is of great practical significance to study the emotional factors in the public information of listed companies and their impact on the market.The text analysis of investor sentiment in existing researches is mostly based on the text sentiment analysis of micro blog,stock bar and news,and rarely combines the text content of non-financial information of listed companies with investor sentiment.The emotional contagion between information of listed companies and investors has a great impact on market fluctuations.Based on the efficient market theory and behavioral finance theory,through the analysis of the sentiment of various periodic reports of listed companies,the investor sentiment index which can reflect the sentiment of public information of listed companies is constructed,and its influence on the stock market fluctuation is further studied.The basic analysis idea is to use Chinese stuttering participle to segment the text of602 annual reports and semi-annual reports of the sse 50 index from 2013 to August 2019,calculate the sentiment value of the processed text information by using tf-idf algorithm,and construct a composite index of investor sentiment on the basis of principal component analysis.On this basis,the composite sentiment index is constructed by combining thesentiment value representing the public information sentiment of listed companies with the comprehensive investor sentiment index,so as to analyze the influence of the sentiment index contained in the public information of listed companies on the stock market fluctuations.The research conclusions of this paper are as follows :(1)Compared with the comprehensive investor sentiment index constructed by direct and indirect investor sentiment indexes,the composite sentiment variable based on the sentiment analysis of public information of listed companies has better explanation on market fluctuations.(2)the influence of complex emotional variables on market fluctuations based on the sentiment analysis of public information of listed companies has a lasting effect on time.Composite investor sentiment with a lag of 1 to 8 periods has an impact on market volatility.(3)the fluctuation of SSE 50 index will also have an impact on investor sentiment.The SSE 50 index yield in the late stage of the second order lag has a positive promoting effect on investor sentiment.Based on the conclusion,it is found that there are still obstacles to the transmission of information and market sentiment in the price of China's securities market,and the market efficiency needs to be strengthened.