嵌入网络平台投资者情绪的证券市场风险生成机制及传染效应研究

项目名称： 嵌入网络平台投资者情绪的证券市场风险生成机制及传染效应研究

项目编号： No.71503078

项目类型： 青年科学基金项目

立项/批准年度： 2016

项目学科： 管理科学

项目作者： 罗长青

作者单位： 湖南工商大学

项目金额： 17万元

中文摘要： 互联网飞速发展，网络平台对证券市场的影响越来显著。通过网络平台，投资者不仅能获取信息，还能通过文本形式进行情绪表达，从而形成网络平台投资者情绪。以此为研究背景，本项目探讨嵌入网络平台投资者情绪的证券市场风险生成机制及传染效应。首先，结合心理学、数据挖掘技术和统计建模方法，在文本数据收集和语义消歧的基础上，建立投资者情绪词典库，并对网络平台投资者情绪进行度量；然后，将网络平台投资者情绪嵌入到资产定价模型中，基于情绪溢价与定价效率，度量证券市场风险程度，并分析其生成机制；其后，运用风险度量结果的数据，计算市场风险的动态相关系数，构建风险传染的拓扑网络，实证检验网络平台投资者情绪对风险传染强度和范围的影响，探索网络平台投资者情绪对证券市场风险传染效应的影响规律；最后针对嵌入网络平台投资者情绪的风险及传染效应，从市场基础设施、风险与传染效应的监测和应急管理体系等方面提出风险监管的对策建议。

中文关键词： 投资者情绪；复杂网络建模；文本挖掘；证券市场风险；网络平台

英文摘要： With the quick development of the Internet, the influence on security market from Internet platform has become more and more significant. Through online platform, the investors not only acquire the information, but also express their sentiment through the form of text, and thus the online investor sentiment is formed. Under this background, this project plans to explore the security market risk mechanism, the contagion effect and supervision countermeasures which is embedded the online investor sentiment combing the interdisciplinary theory and technology. Firstly, using psychology, data mining technology and other statistic methods, and based on the text data collecting and Word Sense Disambiguation, the online investor sentiment dictionary is build, and then the online investor sentiment is to be evaluated. Secondly, the online investor sentiment is to be embedded in the asset pricing model, and the security market risk mechanism will be analyzed based on the online investor sentiment premium and the pricing efficiency of the security market. Thirdly, using the risk evaluation results, the project will calculate the dynamic risk correlation coefficients and topology of risk contagion network, and then the project will empirically examine the influence of online investor sentiment on intensity and scale of risk contagion. Finally, aiming to managing the risk and contagion embedded the online investor sentiment, the countermeasures are to be provided from the perspective of market infrastructure, supervision and emergency disposal of security market risk and risk contagion.

英文关键词： Investor sentiment;Complex network modelling;Text mining;Security market risk;Online platform