Quantitative Analysis Of The Influence Of Microblog Emotion On Stock Market

With the rapid development of economic globalization and the continuous increase of data transmission speed,the volatility and investment risks of financial markets are gradually increasing,and the influencing factors are becoming more and more complicated.In the rich stock market,stock market volatility is a factor that investors are very concerned about.The magnitude of the fluctuations directly determines the risk of this investor.The communication platform represented by Sina microblog is relatively free.The content of microblog can truly reflect the emotional attitude of bloggers,and fans have follow-up behaviors,thus affecting the sentiment of investors,comprehensive stock supply and demand relationship and stock value.Factors have an impact on the stock market.Therefore,studying the impact of microblog emotion on the stock market has very important practical significance.Firstly,based on the semantic orientation point mutual information(SO-PMI),a measurement method for quantifying microblog emotions is given.Based on this measurement method,the quantification methods of three kinds of microblog emotions are given and compared.Then,based on the EGARCH model and using the quantified microblog sentiment variables as exogenous variables,an econometric model of the influence of three microblog emotions on the stock market is established:only the microblog emotion is added to the mean equation;and only the microblog is added to the variance equation;emotion and Simultaneous addition of microblog emotions in the mean and variance equations;and the corresponding parameter estimation methods and significance test methods for each model are given.Then give the results of AIC based on each model and the results of point prediction and interval prediction to compare and choose the best model.Finally,using the established model,select the blog posts of the five bloggers with a greater influence on the analysis of the Shanghai Stock Market using the Shanghai Composite Index logarithmic rate of return data(a total of 388 days of data),to research the impact of microblog sentiment on the stock market.The hypothesis test and prediction results of each model show that microblog emotion has significant influence on income and volatility.Therefore,the microblog content of professionals has a significant impact on the stock market.