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

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.

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。

本项目以网络平台投资者情绪和证券市场风险传染为研究对象，以统计建模为主要研究工具，结合行为经济学、行为金融学、复杂网络理论、机器学习理论等领域知识，分析了证券市场风险及其传染效应的产生机理，刻画了嵌入网络平台投资者情绪的证券市场风险传染效应的动态演化规律。.首先运用多种方法对投资者情绪进行了度量，结合文本信息对网络平台投资者情绪进行了分析。并基于行为金融的分析框架，构建了基于投资者情绪的资产定价模型，综合运用所构建的累积前景价值模型、基于情绪的资产定价模型、以及高级计量模型分析了证券市场风险产生的机理，刻画了资产价格行为规律。从理论和实证角度探讨了网络平台投资者情绪对证券市场风险传染效应的影响，基于风险的跳跃和变结构特征，以复杂网络为基础，对嵌入网络平台投资者情绪的证券市场风险传染效应模型进行了实证研究，并以理论和实证结果为基础，提出了证券市场风险防范和监管的相关对策和建议。.本项目较好地解决了设定的关键科学问题和完成了预期目标，为证券市场风险管理提供了新的视角，所提出的风险度量方法具有较强的创新性，研究成果对风险管理有一定的理论价值，对证券市场风险监管有较强的应用价值。