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基于新浪微博2014年数据,运用情感分析技术构建情绪指数,考察了投资者情绪与股票市场指数的相关性及其预测能力,并通过加入百度指数平台获取的搜索指数,考察了两种指数共同作用的影响.研究结果表明,搜索指数与创业板指收盘价及交易量均呈正相关,情绪指数与创业板指收盘价及交易量均呈负相关:情绪指数对股票价格有预测作用,仅短期影响显著,对股票交易量预测作用不显著;搜索指数对交易量的预测有显著作用,但无法提升股价的预测精准度:当两种指数同时作用时,股价预测精准度得到较大的提升,交易量未能达到预期的改善.研究证明网络信息中蕴含的有效信息可以有助于预测包括股价、成交量在内的市场变量,有助于投资者更好的利用网络中的有效信息进行金融决策行为.
Based on Sina Weibo’s 2014 data, the paper uses sentiment analysis technology to construct sentiment index, examines the correlation between investor sentiment and stock market index and its forecasting ability, and through the index of search index acquired by Baidu index platform, The results show that the search index and the GEM means the closing price and the volume of transactions were positively correlated, the sentiment index and the GEM closing price and trading volume were negatively correlated: sentiment index on the stock price has a predictive effect, only short-term The index has a significant effect on the trading volume forecast, but it can not enhance the forecast accuracy of the stock price: when the two indices act at the same time, the forecast accuracy of the stock price is greatly improved, The transaction volume failed to achieve the expected improvement.Research has proved that the effective information contained in the network information can help predict the market variables including stock price and volume and help investors make better use of the effective information in the network for financial Decision-making.