Research On The Influence Of Investor Sentiment Extracted From Internet Comments On Futures Price

Soybean is an important economic crop in China,and is one of the most open agricultural products.So it is of great significance to improve soybean futures market and maintain soybean price stability.There are a lot of unstable factors in futures market,so the investor's enthusiasm for this market has greatly affected the price fluctuation of soybean futures.Different from traditional finance,behavioral finance starts from the psychological emotions of investors to study the biased effect of investors' irrational emotions on investment behavior.Based on behavioral finance theory,this paper studies the impact of investor sentiment on soybean futures prices,and puts forward targeted policy recommendations.With the development of the Internet,there is a new breakthrough in the measurement of investor sentiment.Different from the traditional direct investor sentiment index based on subjective survey and the composite investor sentiment index based on principal component analysis,this study uses text mining technology to crawl the Internet comments related to the investor sentiment of soybean futures.Then the obtained comments are stored,de duplicated and cleaned.Text analysis is carried out by using Chinese word segmentation and stop words filtering,and sentiment classification is carried out by using naive Bayesian classifier in machine learning.By testing naive Bayes classifier,it is found that the effect of classification is good,so this method is used to classify comments and construct emotion index.This paper selects 243 trading days from December 20,2018 to December 19,2019.The Granger causality test shows that soybean futures price is the Granger cause of investor sentiment at a significant level of 5%.The formation of investor sentiment is affected by soybean futures prices.After the variables pass the BDS nonlinear test,tvp-var model is established to study the dynamic relationship between variables.After the analysis of equal interval impulse response,it is found that investor sentiment has a positive impact on soybean futures price,and the impact effect of soybean futures price on investor sentiment changes from negative to positive.After the analysis of time point impulse response,it is found that investor sentiment has a positive impact on soybean futures prices.The impact of soybean futures price on investor sentiment shows a "positive-negative" trend,and the impact effect gradually decreases with the number of periods.In order to verify the rationality of constructing investor sentiment index based on Internet comments and the empirical results of the index and soybean futures price volatility,this paper makes a robust analysis.The commodity confidence index represents the monthly investor sentiment index,and studies the dynamic relationship between it and the soybean futures price.It is found that the impact of investor sentiment on soybean futures price is positive,but the impact of soybean futures price on investor sentiment is mainly negative.Combined with the analysis of economic and social background,due to the bad news of 2015 stock market crisis on soybean futures market,investors are pessimistic about the market out of "loss aversion".However,in the Sino US trade friction event in 2019,China imposed duties on imported soybeans from the US,which is good news for the soybean futures market.Because of the different nature of information in the futures market,the impact effect of soybean futures price on investor sentiment is essentially different.