×

Weibo emotion and Chinese stock market: a study based on co-integration analysis. (Chinese. English summary) Zbl 1313.62150

Summary: Revealing fluctuation law of the stock market in the view of emotion has consistently been an academic interest in psychology, economics and other behavioral disciplines. In recent years, studies on building public emotion indicators with internet data and then exploring the relationship between emotions and the stock market grow up to be a hot topic in this field. Firstly, we collect Weibo emotional time series data by the help of information science, based on which we build a Weibo Emotion Composite Index highly correlated with the stock market. Then, we use co-integration test, error correction model and other econometric methods to explore the relationship between the Weibo Emotion Composite Index and the stock market. Results show that there exists a significant long-term equilibrium relationship between Weibo Emotion Composite Index and the current and next trading day’s Shanghai Composite Index. Weibo Emotion Composite Index has a significant predictive power for the closing price of next trading day’s Shanghai Composite Index.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62P15 Applications of statistics to psychology
68P20 Information storage and retrieval of data
68M11 Internet topics
91B82 Statistical methods; economic indices and measures
91B84 Economic time series analysis
PDFBibTeX XMLCite