网络情感因子对股票收益率的影响研究
Research on the Influence of Network Emotional Factors on Stock Returns

随着网络技术的发展，越来越多的个人投资者通过股吧等网络平台，就股市或某只股票的走势发表观点，本文利用网络平台上的投资者的主观情绪，构建了一个网络情感因子。首先，利用爬虫程序对东方财富股吧从2021年7月3日到2022年7月3日的沪深300成分股股评文本进行采集，对股评进行分类后计算出网络情感因子值，并用线性回归模型实证网络情感因子显著正向影响本期股票收益，显著负向影响下期股票收益。论证了文本投资者情绪对股票价格的重要影响，有助于投资者了解股票价格的投资者行为风险，从而降低投资风险，也有助于监管部门管理投资者情绪风险，稳定股票市场。
With the development of network technology, more and more individual investors are expressing their opinions on the trend of the stock market or a certain stock through online platforms such as stock bars. This article uses the subjective emotions of investors on online platforms to construct a network sentiment factor. Firstly, a crawler program was used to collect the stock review texts of the Shanghai and Shenzhen 300 component stocks of Dongfang Wealth from July 3, 2021 to July 3, 2022. After classifying the stock reviews, the online sentiment factor values were calculated, and a linear regression model was used to demonstrate that the online sentiment factor significantly positively affects the current stock returns and significantly negatively affects the next stock returns. The important impact of investor sentiment on stock prices is demonstrated, which helps investors understand the behavioral risks of stock prices and reduce investment risks. It also helps regulatory authorities manage investor sentiment risks and stabilize the stock market.