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The Comment of BBS: How Investor Sentiment Affects a Share Market of China

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Machine Learning for Networking (MLN 2018)

Part of the book series: Lecture Notes in Computer Science ((LNISA,volume 11407))

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Abstract

This paper studies the influence of investor sentiment on the A share market of China. According to the behavioral financial theory, transformation of investor sentiment will trigger irrational transaction behavior and have an influence on the Chinese stock market. We study the effect of more than 23 million investor’s comments posted on EastMoney.com, which is the biggest stock BBS in China. We utilize TextCNN to mine emotional tendency of investor comment stock comment, classify comments into positive, negative and neutral. The classified accuracy of validate set can reach 90%. And utilize such emotional tendency to define investor sentiment index. Based on our research, we find that the correlation between sentiment index and Shanghai Composite Index (SHCI) is positive, statistically significant and exponentially decays in period of time. Besides, with Hurst parameter H, it indicates that investor sentiment have long-range correlations, investor sentiment will develop as the current trend.

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Author information

Authors and Affiliations

  1. School of Business, Guangxi University, Nanning, 530004, Guangxi, China

    Xuanlong Weng, Haishan Feng & Ke Huang

  2. School of Computer, Electronics and Information, Guangxi University, Nanning, 530004, Guangxi, China

    Yin Luo

  3. State Key Laboratory of Earth Surface Processes and Resource Ecology, Beijing Normal University, Beijing, 100875, China

    Jianbo Gao

  4. Center for Geodata and Analysis, Faculty of Geographical Science, Beijing Normal University, Beijing, 100875, China

    Jianbo Gao

Authors
  1. Xuanlong Weng
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  2. Yin Luo
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  3. Jianbo Gao
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  4. Haishan Feng
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  5. Ke Huang
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Corresponding author

Correspondence to Yin Luo .

Editor information

Editors and Affiliations

  1. Télécom SudParis, Évry, France

    Éric Renault

  2. Inria, Paris, France

    Paul Mühlethaler

  3. CNAM/CEDRIC, Paris, France

    Selma Boumerdassi

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Weng, X., Luo, Y., Gao, J., Feng, H., Huang, K. (2019). The Comment of BBS: How Investor Sentiment Affects a Share Market of China. In: Renault, É., Mühlethaler, P., Boumerdassi, S. (eds) Machine Learning for Networking. MLN 2018. Lecture Notes in Computer Science(), vol 11407. Springer, Cham. https://doi.org/10.1007/978-3-030-19945-6_19

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  • DOI: https://doi.org/10.1007/978-3-030-19945-6_19

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-19944-9

  • Online ISBN: 978-3-030-19945-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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