投资者情绪与外汇市场波动——来自社交媒体的经验证据
Investor Sentiment and Foreign-exchange Market Fluctuations:Empirical Evidence from Social Media
王祥兵 1唐凌宇 2张新功2
作者信息
- 1. 怀化学院商学院,湖南怀化 418000;重庆师范大学数学科学学院,重庆 401131
- 2. 怀化学院商学院,湖南怀化 418000
- 折叠
摘要
研究利用社交媒体中外汇交易相关文本数据和中美外汇市场USD-CNY日交易数据,考察社交媒体中外汇投资者情绪与外汇市场波动的关联机制.研究发现:社交媒体中外汇投资者情绪指数变化与汇市开盘价、中间价、收盘价、价格振幅波动存在双向Granger因果关系;短期内,社交媒体中外汇投资者情绪指数变化与汇市开盘价、中间价、收盘价、价格振幅波动存在双向冲击影响,14个交易日后影响结束.研究认为,监管部门在外汇监管过程中应充分考虑社交媒体的影响,加强对社交媒体的监督,规范社交媒体的发展,引导投资者理性投资,有效维护外汇市场运行秩序.
Abstract
This research uses the text data of foreign exchange transactions in social media and the daily data of USD-CNY transaction in the Sino-US exchange rate market to empirically study the correlation mechanism between foreign exchange investor senti-ment in social media and foreign exchange market volatility.It finds that there are two-way Granger reasons between the changes in the sentiment index of foreign exchange in-vestors in social media and the opening price,the midpoint,the closing price and the range of rise.In the short term,there are two-way impact effects between the changes in the sentiment index of foreign exchange investors in social media and the opening price,the midpoint,the closing price and the range of rise,and the mutual influence lasts for 14 trading days.Therefore,it is necessary to fully consider the influence of social media in the process of foreign exchange market supervision,and take timely measures to elimin-ate the risk factors caused by changes in foreign exchange investor sentiment in social media,in order to effectively keep the order of the foreign exchange market.
关键词
社交媒体/情感分析/外汇市场/汇率波动/情绪指数Key words
social media/sentiment analysis/foreign exchange market/exchange rate fluctuations/the sentiment index引用本文复制引用
出版年
2024
NETL
NSTL
万方数据