Dynamic Impact Of Internet Financial News On Stock Market Trading Volume And Return

With the rapid development of the Internet and big data technology,we have stepped into the information age.Under the background of today's information age,the way and method of people obtaining information and expressing opinions and opinions have been greatly changed.From the perspective of information acquisition,people's access to information has changed from traditional media such as newspapers,magazines,radio and television in the past to various websites,information software,even forums,social software and so on.More and more people get information through the Internet to understand what is happening in their lives.The development of Internet technology has greatly reduced the cost of obtaining information and expanded the diversity of people's information channels.In the information age of Chinese investors have also been the impact of the information age,the investors in the stock market information channel is more extensive,express emotions and ideas platform also more diversified,and the Internet financial news,as the important source of financial information for investors,the investors behavior and is difficult to ignore the impact of capital market.The development of web crawler technology and text mining technology makes it possible for us to analyze the Internet financial news,which brings a new perspective for the analysis and prediction of the stock market.The traditional analysis of the stock market is mostly based on the historical data of the stock market,macro economic data and financial indicators,and so on structured data,but this kind of unstructured text data because of a lack of effective quantitative and analytical method,in which useful information is often difficult to mining,text mining development allows us to rational use in the field of information contained in the text of for analysis,has been more and more scholars began to dig through the text contained in the information to study investor behavior and the stock market,this article is based on text mining technology to study the effect of the Internet financial news for China's stock market.In recent years,the development of financial news media is more and more rapid,and the rapid development of financial news media has brought great influence to investors.Due to the high proportion of individual investors in China's securities market,their investment behavior is not completely rational due to their own limitations.They have overconfidence,herd behavior and are easily disturbed by external information.Financial news,as a carrier of financial information,is one of the important channels for investors to obtain financial information,and it will affect investors' behavior to a great extent.According to the previous theoretical research of scholars,the mechanism of financial news on the stock market is mainly based on the limited attention theory and investor sentiment theory under the framework of behavioral finance.The theory of limited attention holds that the reports published by news media will attract investors' attention,affect investors' attention,and thus affect investors' behavior.According to the theory of investor sentiment,investors' investment behavior will be affected by their emotions.Based on these two theories,this paper constructs corresponding news media attention index and news media sentiment index by using text mining technology to quantify the information contained in news text,and studies the dynamic influence of news media attention and news media sentiment on stock market turnover and yield rate by vector autoregression model.Specific research method first crawl through web crawler technology financial news text,and then through the text mining technology,the LDA algorithm was used to extract the theme of each of the news text and through the emotional tendencies LSTM algorithm to extract the news text,and then according to the theme of each news text belongs to,time and emotions tend to build media attention and emotional tendency index,and creatively constructed media emotional differences of index to measure the differences of media emotional level.Then the granger causality test is used to determine the correlation between the three indexes and the trading volume and yield of the corresponding stock market,and the impulse response function of the vector autoregression model is established to reflect the dynamic impact of news text on the stock market.The research conclusions are as follows:(1)the media attention can lead to the change of the stock market trading volume,when the news media reported on a topic of finance and economics news number increases,the corresponding plates can cause the stock market rise in the volume of sales,and this effect is one to two days of lag,and the influence in the first three to four days will gradually strengthen and achieve the maximum value,after will gradually decay and gradually tends to zero.The process usually lasts about10 days.In addition,the granger causality relationship shows that the change in the number of financial news reports does not have a significant impact on the rate of return.(2)the degree of emotional divergence contained in financial news released by news media will cause the trading volume and yield of corresponding sectors in the stock market.When the news media hold different views on a listed company or news event,the trading volume will be restrained at first,and as time goes on,the trading volume will increase,and a positive impact will be generated on the yield rate,but the duration is short,generally lasting about 5 days.(3)starting from the heterogeneity of financial news,the influence of financial news of different topics on stock market turnover and yield is common,but there are also differences.In terms of the real estate theme and the medicine theme,the corresponding sectors of the stock market did not differ much in the direction of the response to the media attention and sentiment index changes of financial news,but there were some differences in the response time,intensity and duration.Pharmaceutical trading volume to the impact of media attention more quickly,more intensity and longer duration.And the volume of the real estate plate to the impact of sentiment divergence index response is greater,but the rate of decline is faster.The yield of real estate sector is more responsive to the impact of sentiment divergence index,and there is an initial negative impact.The impact of financial news on stock market turnover and yields on different topics is common,but there are also differences.