Research On The Impact Of Investor Sentiment On Stock Price Volatility From The Perspective Of Sentiment Analysis

The research on the influencing factors of stock price fluctuation is an important subject in capital market.The traditional finance theory assumes that investors are "rational people".When the stock price deviates from the actual value,the market investors will correct this deviation through rational decision-making.The stock price fluctuation is mainly affected by the fundamentals and historical price factors.Looking back at domestic and foreign stock markets,abnormal phenomena such as price fluctuations such as sharp rises and falls occur from time to time.How irrational investor sentiment affects stock price fluctuations is an issue of academic and industrial concern.The Shanghai main board and the shenzhen gem are important component of the capital market,considering the two market trading rules of the plates and investors type differences,this article from the perspective of network community and brokers report to build individual and institutional investor sentiment.Analyzing its influence on GEM market and main board market volatility,and making some comparative analysis,which has important practical significance to promote the steady and healthy development of Chinese stock market.In this paper,comments on chinext index stock bar and CSI 300 Index stock bar were selected as the text sources to measure the sentiment of individual investors,and research reports of top ten securities companies by market capitalization were selected as the text sources to measure the sentiment of institutional investors.Based on the sentiment dictionary of CNKI,the key words are manually screened,and the sentiment dictionary is constructed.Each comment is scored according to the dictionary,and the daily data of individual and institutional investor sentiment is finally obtained.Secondly,GARCH model is used to construct the daily volatility of GEM index and CSI 300.Finally,the VAR model is used to empirically explore the impact of investor sentiment on stock market volatility by taking turnover rate,turnover volume and P/E ratio as the control variables in this study,and the two indicators of small order net buying and large order net buying as the supplement of individual and institutional investor sentiment,respectively.The research conclusions of this paper are as follows:(1)It is difficult for individual investors to make profits from the stock market due to the limitations of their own conditions.The sentiment value reflected in the comment text of stock bar tends to be negative.However,the securities companies’ view on the stock market is relatively conservative and cautious,with more than 60 percent of the research reports collected in the sample conveying positive sentiment.The time series trends of the two market volatility indicators constructed by GARCH model tend to be consistent,but the volatility range of the GEM market is more dramatic.(2)GEM refers to the sentiment of 300 individual and institutional investors in Shanghai and Shenzhen,which will cause fluctuations in the corresponding market.Specifically,the influence of individual and institutional investor sentiment is negative,but the duration of the impact of institutional investor sentiment is short.The influence of individual investor sentiment on stock market volatility in CSI 300 is positive,while the influence of institutional investor is negative.(3)According to variance decomposition analysis,33% of the volatility of GEM index is caused by investor sentiment and trading behavior,and the contribution of individual investor sentiment reaches two-thirds;However,only 14% of the fluctuation of CSI 300 index volatility is caused by investor sentiment and trading behavior,and the contribution of individual investor sentiment is close to two-thirds.It can be seen that the influence of investor sentiment and trading behavior on GEM market volatility is twice that of the main board market,indicating that GEM market volatility is more closely related to investor sentiment and trading behavior.Finally,based on the above research results,this paper puts forward policy recommendations for online forum operators,small and medium-sized investors and institutional investors,which is conducive to creating a good environment for the stable development of China’s stock market.