| China’s stock market from the establishment of the development so far,there have been a number of stock price fluctuations,combined with behavioral finance and other related theories,the fluctuation of stock prices to a certain extent can show the irrationality of Chinese investors,which shows that investors’ emotions and changes in concern have a huge role in promoting the fluctuations of the stock market.At the same time,with the development of technology and big data,the use of computer technology to quantify investor sentiment and concern provides a method for the study of finance.The comments in the stock forum can not only reflect the investor’s emotions and concerns,but also reflect the memory of investors’ investment decisions,so the comments of the stock forum are extracted and processed,and then the indicators reflecting the investor’s emotions and concerns are obtained.In this context,this paper constructs the investor sentiment and concern indicator through the stock bar forum,and deeply explores the impact of this indicator on stock yields,which is conducive to investors to clearly understand the change process of their emotions and concerns,combined with the inherent characteristics of stock market price changes,and lays a theoretical foundation for the study of individual investors’ decision-making behavior.First of all,this article summarizes and reviews the existing research progress at home and abroad,and combines the research content and data availability,and finally selects the data of the Oriental Wealth Stock Bar Forum website platform to construct the investor sentiment and concern index,because the stock bar review can not only reflect the investor’s memory into the mood,but also reflect the content of the comment and the popularity of the comment keywords in various periods.This article crawls the posts of the Shanghai Composite Index Bar in the Oriental Wealth Stock Bar Forum,and the collector selected is octopus collection,this article selects 2019 In the Oriental Wealth Stock Bar Forum,the SSE Composite Bar is text crawled,the invalid data is excluded,and then gooseeker is used to conduct in-depth analysis of the text sentiment,in which the emotional words used are divided into two parts,one is the emotional dictionary formed by the platform through the integration of daily common words,and the other is to be more for financial professional terms,the Words that appear frequently in the Oriental Wealth Network and involve stock terms are manually selected and supplemented.From these emotional words,the index of investor sentiment and concern is finally derived.Second,there is a certain relationship between investor sentiment and the interested index and the shanghai composite index yield.The following methods will be used to test,first,the ADF stationarity test method is used to test the investor sentiment and concern index and the Shanghai Composite Index yield;Second,the Granger causality test is used to analyze the causal relationship between sentiment and changes in the concern index and changes in stock returns;Third,the VAR model is used to initially analyze the relationship between sentiment and the focus index and the Shanghai Composite Index yield.After analyzing the effectiveness of the model,the impulse response model and the variance decomposition method were used to explore the relationship between them.Impulse response analysis shows that there is an interconnection between the two,and the results of variance decomposition analysis also show that changes in investor sentiment and concern have a positive effect on yield changes,and in the long run,this short-term effect will gradually accumulate and have a more significant impact in the long run,however,the overall effect on the change in yield is not large.Finally,the paper uses the EGARCH model to analyze and explore the relationship between investors’ positive and negative emotions and attention and their yield fluctuations,and the model results show that the impact of positive emotions and concerns is stronger than the impact of negative emotions and concerns on investment returns.The conclusion shows that investor sentiment and concern have a significant impact on the return on stock investment,and the effect of positive emotions and concerns is greater than the impact of negative emotions and concerns on investment returns.According to the research results,the specific policy recommendations are as follows:First,individual investors should put rational investment concepts in the first place when making investment decisions,expand their horizons,enhance their ability to understand and grasp more market news,and learn from the investment structure of foreign markets,advocate institutional investors to actively join the stock market,stabilize the mood of ordinary investors,and cultivate rational investment concepts.Second,improve the regulatory system and mechanism of the government and relevant regulatory departments,create a big data investor sentiment and concern analysis platform,formulate an efficient and scientific and dynamic regulatory plan,and take the policy as the guide to provide a good environment for the construction of a sound and stable securities market development mechanism. |
