| In early 2009,liquor section started a 3-year bull market.In this phase,liquor-making industry grows fast.As the industry grows fast,the potential of growth suggests the valuation and pricing.From 2016,the fast-growth liquor market of baijiu is reappearing,and the liquor industry has entered the mature stage,with low growth in the industry,and the competitive pattern has become the most critical factor in the investment.A good competitive landscape means fewer competitors entering and fewer alternatives.The baijiu index rose from 1095 in April 2016 to 1694 in April 2017,with an increase of 54.7%.A good competitive landscape means fewer competitors entering and fewer alternatives.Among 19 liquor stocks,the most representative stock is guizhou maotai which rises fastest.From April 2016 the shares is at 210 yuan or so,until a year later,the price rises to 380 yuan,which gives a 80%revenue.at the same time the average only gains 7%.The share price of liquor stocks in the past year climbed quickly,which attracted many scholars research.This article attempts to explore from the perspective of investors’sentiment.Stock market prices and trading volume index fluctuation change very rapidly.For short-term investors,if they can’t get public opinion of news and evaluate its impact,there is no doubt that there lies a very big hidden trouble for the short-term arbitrage strategy.Therefore,in this article in order to pursue the validity of the data,this article adopts several stock related indexes for hours as the unit instead of traditional in the traditional statistical data of daily closing quotation data as the research object.This is also the value of the high frequency quantification transaction,and the processing of data can be divided into batches,which will undoubtedly greatly improve the efficiency of investors’analysis of public opinions.However,in the real operation,the statistics of public opinion index indicators,the highest frequency data is also in the sky.This results in the failure of the VAR model of the traditional requirement of the same frequency.Therefore,MF-VAR model is used in this paper.The MF-VAR model is based on the VAR model,which avoids the disadvantages of the VAR model which must use the same frequency data,and develops the vector autoregressive model.Therefore,it breaks through the disadvantages that the data is incomplete and has to use the low frequency data to cause the research result distortion and the result is difficult to actually use.In this paper,we try to analyze the variation of the stock price of baijiu shares in moutai by using the MF-VAR model from the perspective of the influence of public opinion investor sentiment on the stock price fluctuation and trading volume.the research results show that public opinion for the next trading day’s closing price volatility and trading volume have positive influence,the closing price volatility is larger,the influence of the volume is small,the influence of the influence of the duration of a session,later in the day of the disappeared.The main contents of this paper include:First of all,I give briefly summaries on the research background,significance,several key concepts involved in this paper,and the research on the public opinion index and MF-VAR model by scholars at home and abroad.This part mainly explains the background and significance of the research,the basic profile of guizhou maotai,the selection of data,and the innovation parts in model selection and research subject.Secondly,based on the fundamental analysis of the system in guizhou maotai liquor section,the research is mainly carried out from two aspects:industry research and stock analysis.In industry research,I systematic analyse the development of liquor market for the past 30 years,which mainly studies the influence of alcohol policy for all kinds of wine companies and different class of liquor market movements.In addition,I also analyze the fundamentals of the wine companies.On the one hand,through to the listed on the domestic secondary market liquor section 19 listed companies stock price index,financial indicators and future profit forecast transverse comparison,I analyse the difference factors in the different enterprises,and its effect on the stock price and volume;On the other hand,I take guizhou moutai as the main research object.Through the research of the liquor company,which is on behalf of the enterprise of the indicators of the listed company,especially from the perspective of financial statements and the derivative indexes,I obtained the support of guizhou maotai shares a number of factors.The analysis above shows that the fundamentals and long-term stock price trend are to be matched,and the factors that affect the stock price changes are dissected.Subsequently,the influence of the event research method and the empirical analysis method on the public opinion index and the stock correlation index were analyzed respectively.Through the event research method,the influence of public opinion index on stock price fluctuation is illustrated.Through the empirical analysis,the change of public opinion index is quantified and the fluctuation rate of the closing price of the next trading day and the influence of the trading volume are quantified.Through the analysis of the MF-VAR model,it is concluded that the sentiment index have both positive impacts on the next trading day’s closing price volatility and trading volume.Generally,the impact for the closing price volatility is larger,for the impact of the volume is small.Finally,on the basis of the research results,’I respectively give advice to the enterprise and quantitative investors.To the enterprise,I give advice on how to take advantage of the quantitative analysis for the evaluation of public opinion and how to deal with.To the quantitative investors,I give advice on the method they can take to analyse the index of public opinion and how to process with quantitative selections.Besides,through quantitative trading program according to the above research results,I give corresponding strategies and suggestions. |
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