| Cross border capital flow has always been the focus of all kinds of articles at home and abroad.Traditional research methods generally use official data for analysis,but the official data has the characteristics of delay and low frequency.Media news plays a leading role in the behavior of investors,and then affects the capital market.Therefore,this paper studies the impact of different types of media news on short-term cross-border capital flows,and forecasts the direction of short-term cross-border capital flows.Firstly,qualitative analysis is carried out.Media news will influence investors'behavior through news choice,emotional tendency,market expectation,time deviation and so on.Combing the theory of impact on short-term cross-border capital flows,the economic news is divided into 11 categories.Data acquisition and processing.The news in this article is a 7*24-hour news text crawled from Sina Financial sector.According to the qualitative analysis method to determine the news category,and use the keyword method to classify the news.Instead of short-term cross-border capital flows,the daily capital flows of the land stock connect from the data center of Tonghuashun finance and economics are used.The reasons are as follows:1.The amount of land stock capital flow accounts for a large proportion of short-term cross-border capital flow.2.The daily news is adopted in the news.Based on the availability of data,the daily data can be obtained by GST,which is more conducive to analysis and operation than the quarterly data of short-term cross-border capital flows.In the aspect of empirical analysis.The obtained news texts are cleaned and further classified according to keywords and emotional dictionaries.Finally,the news text is quantified as public opinion index as the explanatory variable,and the data of net inflow of Shanghai Stock connect/Hong Kong stock connect is used as the explanatory variable.First,the cross-sectional correlation analysis is carried out to determine the news public opinion index which has a significant impact on the net inflow of Shanghai Stock connect and Hong Kong stock connect funds,and to confirm the enhancement effect of media news on information.Then the time series analysis(VAR)shows that the impact of news public opinion index on short-term cross-border net capital inflow peaked in 3 to 4 days,and then gradually disappeared.Finally,the direction of short-term cross-border capital flows is predicted by machine learning stochastic forest model. |
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