The Study of Investor Sentiment of Short-term Stock Price Prediction Basedon BERT-BILSTM Model
Behavioral finance suggests that stock prices are influenced by investor sentiment.This paper inves-tigates the impact of investor sentiment on short-term stock returns and its predictive power.Financial text data for the constituent stocks of the CSI 300 index were collected from the stock forums of Oriental Fortune using web scraping technology.Based on whether the text expressed expectations about stock returns in the coming trading days,approximately 10,000 samples were categorized as"bullish,""bearish,"or"neutral."Using this labeled data,the BERT-BILSTM model was trained to automatically classify large volumes of text.The model combines BERT(Bidirectional Encoder Representations from Transformers)and BILSTM(Bidirectional Long Short-Term Memory)to improve the accuracy and efficiency of sentiment classification through pre-training and deep learning techniques.This paper constructs metrics for investor sentiment and sentiment divergence to analyze their predictive role on stock returns and trading volume.The empirical results show that investor sentiment has a significant posi-tive effect on same-day stock returns and can significantly predict stock returns over the next one to five trading days.Sentiment divergence has a significant positive effect on same-day trading volume and can predict trading volume for the next one to three trading days.A robustness test was also conducted,altering the calculation of investor sentiment indicators while keeping control variables constant.The test results still show that sentiment indi-cators significantly affect same-day stock returns and trading volume in the following days,though the significance of the coefficients decreases slightly.This further validates the reliability and applicability of the model used in this paper.Additionally,the empirical analysis reveals that the volume of forum posts is negatively correlated with stock returns.This may suggest that high levels of market discussion do not lead to positive performance;instead,they may trigger market overreactions.Taken together,the findings support hypotheses Hl and H2,which posit that investor sentiment and sentiment divergence have a significant impact on the stock market.
万方数据
维普
