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Data Analysis and Knowledge Discovery  2019, Vol. 3 Issue (9): 98-114    DOI: 10.11925/infotech.2096-3467.2018.1223
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Impacts of Financial Media Information on Stock Market: An Empirical Study of Sentiment Analysis
Yonghua Cen1(),Zhihao Tan1,Chengyao Wu2
1 School of Economics and Management, Nanjing University of Science and Technology, Nanjing 210094, China
2 College of Finance, Nanjing Agricultural University, Nanjing 210095, China
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Abstract  

[Objective] This paper aims to study the impacts of media coverage on stock market. [Methods] We used the LSTM deep neural networks to evaluate the sentiments of the online news, forum posts and blogs from leading financial websites. Then, we established autoregressive distributed lag model and panel regression model to test the relationship between media information sentiments and stock market performance from the perspectives of macro market and individual stocks. [Results] (I) In the short term, the positive and negative sentiments significantly changed the stock prices and led to overreaction. In the longer term, the stock market reversed. (II) There were a negative relationship between sentiment volatility/discrepancy and stock prices, and a U-shaped nonlinear correlation between sentiment discrepancy and trading. (III) Investors reacted more immediately and strongly to positive sentiments, and the rational correction of this overreaction was slower than those of the negative information. (IV) High discrepancy of sentiments led to more over-trading than high consensus. [Limitations] The accuracy of sentiment analysis needs to be improved with more complex models. [Conclusions] Our research provides theoretical, methodological and practical implications for financial supervision and regulation.

Key wordsFinancial Media Information      Sentiment Analysis      Investor Sentiment      Stock Market      Sentiment Orientation     
Received: 04 November 2018      Published: 23 October 2019
:  F832.51 G35  

Cite this article:

Yonghua Cen,Zhihao Tan,Chengyao Wu. Impacts of Financial Media Information on Stock Market: An Empirical Study of Sentiment Analysis. Data Analysis and Knowledge Discovery, 2019, 3(9): 98-114.

URL:

http://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/10.11925/infotech.2096-3467.2018.1223     OR     http://manu44.magtech.com.cn/Jwk_infotech_wk3/EN/Y2019/V3/I9/98

信息粒度 信息来源 信息类型分布(条)
新闻 博客 股吧
宏观市场 新浪财经 25 490 21 426 2 347
东方财富 37 044 1 735 8 615
网易财经 13 254 - -
合计 75 788 23 161 10 962
个股 新浪财经 14 087 - 1 272
东方财富 20 977 - 6 217
网易财经 2 758 - -
合计 37 822 - 7 489
算法 Accuracy Precision Recall F1-score
SVM 0.5862 0.5910 0.9673 0.7337
BP 0.5903 0.5898 0.9897 0.7420
CNN 0.7525 0.8115 0.7556 0.7825
LSTM 0.8144 0.8109 0.8933 0.8501
数据面板 变量 平均值 最大值 最小值 标准差 偏度 峰度 单整阶数 PP检验值
Panel.A: 媒介
信息情感
SO 0.6744 0.7174 0.6214 0.0202 -0.3347 2.5678 (0) -9.8203***
SV 0.0805 0.1024 0.0628 0.0087 0.2056 2.6996 (0) -10.7562***
SO*(日内) 0.2606 18.1554 -0.6484 0.7985 10.5351 138.0403 (0) 9375.8602***
SV*(日内) 0.0168 0.5842 0.0000 0.0397 4.1882 25.9605 (0) 9644.6624***
SO*(日间) 1.1709 56.1808 -2.2263 3.0606 8.5154 95.7669 (0) 5086.3990***
SV*(日间) 0.0183 0.5218 0.0000 0.0396 3.9059 22.7119 (0) 6677.4028***
Panel.B: 上证
指数
M_Clpr 3271.5939 3559.4700 3066.8000 123.4484 0.4051 2.5142 (1) -9.3615***
M_Trdvol 1.6774E+10 2.8055E+10 1.0032E+10 4.0519E+09 0.9380 3.0704 (0) -4.7527***
Panel.C: 沪深
300指数
M_Clpr 4016.4328 4389.8900 3748.6400 157.1514 0.3873 2.5773 (1) -9.6843***
M_Trdvol 1.1402E+10 2.1982E+10 5.9030E+09 3.9969E+09 1.0704 3.2561 (0) -4.6446***
Panel.D: 沪深
300成分股日
内数据
S_Price 26.9833 788.4200 0.0000 63.8346 9.7353 105.9154 (0) 493.9201***
S_Turnrate 0.8038 52.2100 0.0000 1.4678 11.0528 237.6628 (0) 9230.6062***
S_Trdvol 3.9976E+05 2.0554E+07 0.0000 7.9409E+05 7.1529 90.5288 (0) 9301.6712***
Panel.E: 沪深
300成分股日
间数据
S_Price 26.2359 788.4200 0.0000 59.7262 10.1848 117.1104 (0) 571.3529***
S_Turnrate 1.1299 54.6326 0.0000 1.6606 9.4680 200.1871 (0) 2234.6131***
S_Trdvol 5.7799E+07 2.0554E+09 0.0000 1.0438E+08 6.3401 66.3050 (0) 2263.0469***
SO SV M_Clpr ΔM_Clpr M_Trdvol ΔM_Trdvol
SV -0.8058***(-14.2729) 1
M_Clpr 0.2053**(2.2001) -0.1559(-1.6550) 1
ΔM_Clpr 0.3686***(4.1591) -0.3621***(-4.0748) 0.1464(1.5518) 1
M_Trdvol 0.1644*(1.7480) -0.0152(-0.1595) 0.6099***(8.0727) -0.1828*(-1.9496) 1
ΔM_Trdvol -0.0174(-0.1830) 0.0444(0.4659) 0.0807(0.8488) 0.0002(0.0025) 0.3612***(4.0631) 1
时间窗口 模型变量 SO* SV* S_Price S_Turnrate S_Trdvol
日内 SV* 0.3303***(64.6454) 1
S_Price 0.0058(1.0866) -0.0200***(-3.7089) 1
S_Turnrate 0.0218***(4.0363) 0.0367***(6.7842) 0.0791***(14.6636) 1
S_Trdvol 0.0397***(7.3400) 0.0049(0.9117) 0.7873***(235.9581) 0.1847***(34.7206) 1
日间 SV* 0.4181***(58.2939) 1
S_Price 0.0279***(3.5399) -0.0315***(-4.0028) 1
S_Turnrate 0.0291***(3.6974) 0.0283***(3.5920) 0.0210***(2.6712) 1
S_Trdvol 0.1452***(18.5834) 0.0663***(8.4207) -0.4386***(-61.8087) 0.3056***(40.6518) 1
模型参数 上证指数 沪深300指数
ΔM_Clpr M_Trdvol ΔM_Trdvol ΔM_Clpr M_Trdvol ΔM_Trdvol
β1 -0.0393(-0.3694) 0.4290***(4.7764) -0.4176***(-4.7963) 0.1110(1.0399) 0.5181***(5.7020) -0.3854***(-4.4091)
β2 0.0710(0.6783) 0.2929***(3.3671) 0.0455(0.4151) 0.2988***(3.3333)
β3 0.2319**(2.3682) 0.0792(0.7286)
β4 -0.3160***(-3.0866)
α0 0.2601***(3.9104) 0.7823(1.0547) 0.1923(0.2469) 0.1792***(3.0040) 0.7821(0.8209) 0.5083(0.5180)
α1 -0.1425**(-1.9684) 0.1936(0.3977) -0.1027(-0.1992) -0.0575(-1.2537) -0.2551(-0.4001) -0.4175(-0.6351)
α2 -0.0545(-0.7292) 0.4420(0.8957) 0.1652(0.3155) -0.0903**(-2.0177) -0.0796(-0.1228) -0.2281(-0.3410)
α3 1.5275**(2.1995) 0.9961(1.3636) 0.0809(1.2780) 1.3085(1.4561) 1.0764(1.1618)
φ1 -0.0216(-0.2936) -3.3924**(-2.2590) -1.6521(-1.0725) -0.0371(-0.4945) -2.9089*(-1.6240) -1.9466(-1.0681)
φ2 0.0008(0.3214) 0.0243**(2.0119) 0.0106(0.8507) 0.0026(1.1941) 0.0212(1.3318) 0.0063(0.4024)
φ3 -0.3908**(-2.2786) 5.1211***(2.6306) 4.9407**(2.3693) -0.0693(-0.3881) 6.4401**(2.1208) 7.3834**(2.3627)
Adj-R2 0.2222 0.6425 0.1980 0.1760 0.6760 0.1991
F检验 3.8890*** 25.4259*** 4.7128*** 2.9235*** 29.3452*** 4.6261***
DW检验 1.9281 2.0727 2.0971 1.9995 2.1309 2.1738
模型参数 ΔM_Clpr M_Trdvol ΔM_Trdvol
pos neg pos neg pos neg
β -0.3715**(-2.1792) -0.0120(-0.0608) 0.4490***(3.1025) -0.3555**(-2.5437) -0.2765(-0.3310) -0.4349**(-2.7380)
α 0.2860**(2.3767) 0.4950**(1.9885) 7.4977**(2.0899) -4.8370**(-2.3099) 1.7185(0.6219) -5.2740*(-1.7577)
φ1 0.5611(0.7474) -0.3896**(-2.2654) 1.2498(0.7533) 5.9920***(5.2644) 1.9406(1.3206) 2.3985**(2.8297)
φ2 0.0253(0.9429) 0.0132*(1.7407) 0.0200(0.5485) -0.3297***(-4.5713) -0.0708*(-1.6820) 0.0011(0.0412)
φ3 -0.7123**(-2.8195) -0.2178(-0.6097) -4.5734(-0.5401) -8.0594*(-1.7879) 9.3053(1.5347) 0.6143(0.1347)
Adj-R2 0.5683 0.1337 0.2341 0.5635 0.0671 0.1852
F检验 4.9503*** 2.2955** 2.3169** 9.8227*** 1.8157 2.8643**
DW检验 1.9056 2.1264 1.9352 1.9176 1.9295 2.0456
模型参数 ΔM_Clpr M_Trdvol ΔM_Trdvol
pos neg pos neg pos neg
β -0.2501**(-1.9908) -0.1919*(-1.7017) 0.1242(1.0936) 0.0615(0.3420) -0.2795(-1.5251) -0.3661**(-2.2737)
α 0.0324(0.1551) -0.3477**(-1.9886) 0.4697(0.2429) 5.6319**(1.9980) -2.3744(-1.0554) 5.6451**(2.0743)
φ1 -0.0342(-0.3788) 0.1821(0.9595) 0.6900(0.5667) 4.1655**(2.1409) -0.0701(-0.0611) 0.6854(0.7876)
φ2 0.0082*(1.9181) 0.0018(0.7772) 0.1332**(2.5089) -0.0952(-1.6272) 0.0131(0.2918) 0.0219(1.1469)
φ3 -0.0012(-0.0035) 0.4750(1.1750) 2.8001(0.9078) -4.9336(-0.9411) 3.4674(0.9560) 3.3466(0.9068)
Adj-R2 0.0513 0.0937 0.6303 0.4493 0.0955 0.3261
F检验 3.6631** 1.9827* 12.3680*** 6.4412*** 1.7865 4.1466***
DW检验 2.1342 1.9298 1.9921 1.9636 2.0749 2.1658
系数 日内时间窗口 日间时间窗口
S_Price S_Turnrate S_Trdvol S_Price S_Turnrate S_Trdvol
β1 1.0419***(3.1008) 0.4836***(7.4929) 0.1763***(3.9575) 0.8195***(29.7544) 0.2790***(5.0571) 0.4380***(14.2150)
β2 -0.0659(-0.1733) -0.0143(-0.2211) 0.1563***(3.5235) 0.1008***(7.1111) 0.0450(0.9260) 0.1388***(4.3277)
β3 -0.1308(-1.4000) 0.3078***(5.2342) 0.2116***(5.8476) -0.0856***(-7.1874) 0.0610(1.3234) 0.0983***(3.4314)
β4 0.1460***(3.8939) -0.1769***(-2.9079) 0.1499***(4.9389) 0.0586(1.3990) 0.0177(0.7614)
α0 -0.0079(-1.1581) 0.0428***(3.0398) -0.0156(-0.3134) 0.0013***(2.7776) 0.0628***(4.7443) 0.0118***(3.9790)
α1 0.0049(1.3370) 0.0174**(2.5475) 0.0433**(2.4730) 0.0002(0.7938) 0.0305***(4.3534) 0.0053***(3.2730)
α2 0.0108***(2.6223) 0.0018(0.1972) 0.0402**(2.1566) -0.0004(-1.0476) 0.0074(1.1787) 0.0012(0.6941)
α3 0.0100(1.3951) -0.0039(-0.4924) -0.0249(-0.8146) -0.0008*(-1.8529) -0.0063(-1.0986) -0.0003(-0.1673)
α4 -0.0008**(-2.2191) -0.0108**(-1.9966) 0.0005(0.3162)
α5 -0.0006**(-2.4154) -0.0061(-0.5134) 0.0038(1.2891)
φ1 0.0134(1.4299) -0.2761(-1.2856) -0.0515(-0.5463) 0.0886***(3.2119) 0.9190***(3.7292) 0.2893***(5.9758)
φ2 -0.0003(-0.9376) 0.0001(0.6940) 0.0002(0.8675) 4.30E-05(1.3502) 0.0004*(1.8060) 0.0001***(2.7287)
φ3 -0.0304(-1.0054) -1.4728***(-3.6531) -1.3399**(-2.0467) -0.0591***(-4.0935) 0.3259(0.7185) -0.3159(-1.4846)
Adj-R2 0.9734 0.6551 0.4026 0.9988 0.8263 0.9060
F检验 1933.2790*** 120.7757*** 37.0884*** 10371.630*** 71.9508*** 143.8802***
DW检验 2.2439 2.0858 2.0994 1.8643 1.8949 1.9971
模型参数 上证指数 沪深300指数
ΔM_Clpr M_Trdvol ΔM_Trdvol ΔM_Clpr M_Trdvol ΔM_Trdvol
β1 -0.1102(-1.1785) 0.4581***(5.0539) -0.4239***(-4.8674) 0.1013(0.8891) 0.5201***(5.6764) -0.3939***(-4.4891)
β2 0.0413(0.3070) 0.3237***(3.6520) 0.0047(0.0413) 0.3163***(3.4943)
β3 0.1861**(1.9714) 0.0529(0.4657)
β4 -0.2666**(-2.4748)
α0 -0.5198**(-2.5972) -0.1105(-0.0676) 0.5121(0.3011) -0.3553**(-2.5293) 0.7364(0.3496) 1.1212(0.5193)
α1 0.2040(1.6034) -0.7024(-0.6307) -0.6070(-0.5209) 0.1647(1.1172) -0.4665(-0.3224) -0.5340(-0.3592)
α2 -0.0161(-0.1344) -1.2836(-1.1469) -1.2593(-1.0750) -0.0370(-0.2509) -0.8808(-0.6021) -1.0682(-0.7116)
α3 -1.8543(-1.1809) -1.4447(-0.8817) -0.5064(-0.2489) -0.4815(-0.2303)
φ1 -0.0391(-0.4622) -2.5279*(-1.7014) -1.3678(-0.9055) -0.0358(-0.4690) -2.0237(-1.1382) -1.2186-0.6774
φ2 0.0015(0.4909) 0.0177(1.4483) 0.0083(0.6681) 0.0030(1.3391) 0.0196(1.2001) 0.00560.3512
φ3 -0.4147***(-3.1097) 5.1425**(2.5719) 5.0155**(2.3968) -0.0967(-0.5256) 6.5306**(2.1243) 7.3684**2.3455
Adj-R2 0.1573 0.6235 0.1897 0.1197 0.6673 0.1807
F检验 2.8887*** 23.5626*** 4.6459*** 2.2242** 28.3223*** 4.4350***
DW检验 1.9112 2.0625 2.1030 2.1344 2.1228 2.1722
模型参数 ΔM_Clpr M_Trdvol ΔM_Trdvol
disc cons disc cons disc cons
β -0.2538*(-1.6962) -0.6805***(-5.0723) -0.2219(-1.2873) -0.0275(-0.1691) -1.2525***(-4.5781) -0.2457**(-2.0928)
α -0.0115***(-3.3752) -0.0070**(-2.4173) 0.1453**(2.4297) -0.0743**(-2.1615) 0.0948*(1.6927) 0.0123(0.3605)
φ1 -0.2593**(-1.9888) 0.8614***(3.9183) 1.8352(0.9914) -1.4771(-0.6751) 9.9305**(2.2148) 0.2866(0.2362)
φ2 0.0080(1.6079) 0.0176**(2.2726) -0.0031(-0.0390) 0.1161(1.7832) -0.4636*(-1.7377) -0.0092(-0.2434)
φ3 -0.2633(-1.0137) -0.7711(-1.0434) 5.9980(1.3167) 1.3742(0.4788) 0.5949(0.0645) 5.1284*(1.6774)
Adj-R2 0.2373 0.2910 0.2140 0.2587 0.5105 0.0804
F检验 3.6138** 3.3227** 2.4614* 2.7453** 3.4336** 1.9746*
DW检验 2.1564 1.9097 1.9608 2.1733 2.0836 2.1967
模型参数 日内时间窗口 日间时间窗口
S_Price S_Turnrate S_Trdvol S_Price S_Turnrate S_Trdvol
β1 0.9758***(127.9304) 0.4708***(55.2554) 0.2084***(23.6092) 0.9845***(157.4324) 0.4707***(57.3960) 0.4627***(25.4147)
β2 0.0105(1.0808) 0.0088(0.9611) 0.1656***(18.2184) 0.0081(0.9326) 0.0321***(3.5926) 0.1392***(5.4947)
β3 -0.1416***(-16.1052) 0.2662***(31.1766) 0.2222***(25.2909) -0.0211**(-2.4326) 0.1660***(18.5293) 0.0881***(3.8828)
β4 0.1453***(22.3432) -0.1478***(-18.8960) 0.1428***(15.8484) -0.0082(-1.3292) 0.0193**(2.3537) 0.0566***(3.6867)
α0 -0.2280***(-3.8408) 0.4975**(2.4455) -0.6131(-1.2443) -0.0044(-1.0736) 0.7090***(4.0463) 0.2852***(3.0739)
α1 -0.0534(-1.3081) -0.2204(-1.5752) -1.1163***(-3.2943) -0.0050**(-2.1971) 0.2936***(2.9746) 0.1147**(2.1422)
α2 0.0762*(1.8167) -0.2455*(-1.7066) -0.5292(-1.5191) -0.0051**(-2.4429) -0.0028(-0.0317) -0.0065(-0.1438)
α3 0.1609***(2.6952) 0.4222**(2.0629) 1.1480**(2.3164) -0.0047*(-1.9280) -0.1805*(-1.7136) -0.0786(-1.5652)
α4 -0.0037(-1.5844) -0.2392**(-2.3738) -0.1016**(-2.1267)
α5 -0.0021(-1.3809) -0.1790***(-2.6887) -0.0753**(-2.3853)
φ1 0.0083(0.4348) -0.2895***(-4.3808) 0.0692(0.4361) 0.4615***(105.2908) -0.2785***(-4.6535) 0.2543***(5.3329)
φ2 -0.0003***(-6.8114) 0.0001(0.5784) -0.0007**(-1.9755) -0.0001(-0.6924) -0.0001(-0.6070) -0.0001(-0.5329)
φ4 -0.0320(-0.6411) -1.3355***(-7.6351) -0.6839*(-1.6714) -0.0189***(-4.7210) -0.7591***(-4.6478) -0.4113**(-2.2898)
Adj-R2 0.9692 0.6480 0.4360 0.9893 0.6739 0.8827
F检验 1925.0570*** 113.5124*** 48.2358*** 10280.110*** 136.7012*** 489.0216***
DW检验 1.9374 2.0624 2.0832 1.9109 2.0228 1.9674
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