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利用2008年6月1日至2014年10月31日A股收益率数据和东方财富网上证综指吧主题帖文本,以情绪词测度投资者情绪,发帖量代表信息传播强度,构建信息传播和投资者情绪影响股市羊群效应的GARCH模型.利用赤池信息准则比较信息传播和投资者情绪对股市羊群效应的解释能力.实证表明,前期信息传播加强了本期股市羊群效应,但当日盘前信息传播则减弱了当日股市羊群效应,前期悲观情绪将增强本期股市羊群效应.主要结论有:1)信息传播与投资者情绪对股市羊群效应都具有显著的解释能力;2)综合信息传播和情绪的模型对股市羊群效的解释优于单一信息传播或情绪因素的模型;3)相对于投资者情绪,信息传播对股市羊群效应的解释更优.
Using the A-share yield data from June 1, 2008 to October 31, 2014 and the keynote text of Dongfang Wealth Online Syndicate, we measured the investor sentiment with the sentiment word and the posting volume represented the intensity of information dissemination. We constructed the information dissemination and Investor sentiment affect the herd effect of the stock market GARCH model.Using the Chi Chi information criterion to compare the information dissemination and investor sentiment on the stock market herd interpretation ability.The empirical results show that the early spread of information to strengthen the current stock market herding effect, The former information transmission weakened the herd effect in the stock market on that day and the previous pessimism would enhance the herd effect in the current stock market.The main conclusions are as follows: 1) Both information dissemination and investor sentiment have significant explanatory power on stock market herding; 2) Integrated information dissemination and emotional models explain the herd effect of the stock market better than the single model of information dissemination or emotional factors; 3) The information dissemination is better than the investor sentiment in explaining the stock market herding effect.