The Relationship Between Investor Sentiment and Stock Market Volatility:Based on the VAR Model

摘要：

　　Using web crawling technology crawls investors comments of SANY stock(Stock Code: 600031) and Fujian Expressway stock(Stock Code: 600033) from February 11, 2015 to August 16, 2017.Then using semi-supervised machine learning method construct investor sentiment index.Moreover, collecting the daily closing stock price and trading volume data from Qianlong software explore the relationship between investor sentiment and stock market volatility based on VAR model and Granger Test Method.The results show that the rate of return and trading volume have a two-way Granger causality, while negative emotion and the rate of return have a one-way Granger causality.Furthermore, with the impulse response function and variance decomposition, the results show that trading volume has significant effects on rate of return and negative emotions of investors have significant negative effects on rate of retum and trading volume.

关键词： big data machine learning investor sentiment VAR model stock market volatility

作者: Ge Zhang Jishun Wang Hao Guo Xin Zhang

作者单位: School of Management Science and Engineering, Shandong University of Finance and Economics,China;Sch School of Management Science and Engineering, Shandong University of Finance and Economics,China

会议类型: 国际会议

会议名称: The Seventeenth Wuhan International Conference on E-Business(第17届武汉电子商务国际会议)

会议地点: 武汉

会议语种:英文

页码: 173-180

在线出版日期: 2018-05-25（万方平台首次上网日期，不代表论文的发表时间）