本文通过采用投资者情绪指数公式,获取了相关的投资者情绪数据,并结合时间序列分析方法,进一步深入探讨了投资者情绪对股市的影响。首先对所获得的情绪数据与股价数据进行了ADF检验,以确保数据的平稳性,为后续的分析提供可靠的基础。在此基础上,构建了向量自回归模型,以探索投资者情绪与中证500指数收盘价之间的相互关系。为了进一步探讨两者之间的因果关系,使用了Granger因果检验。通过该检验判断投资者情绪是否在统计意义上能够预测股市的走势。最后还采用了脉冲响应分析和方差分解分析,通过这两种方法可以追踪和量化投资者情绪对中证500指数收盘价的冲击效应及其在短期和长期内的逐步变化。In this paper, the relevant investor sentiment data are obtained by using the investor sentiment index formula, and the influence of investor sentiment on the stock market is further discussed by combining the time series analysis method. Firstly, ADF test is carried out on the obtained emotional data and stock price data to ensure the stability of the data and provide a reliable basis for subsequent analysis. On this basis, a vector autoregressive model is constructed to explore the relationship between investor sentiment and the closing price of the CSI 500 index. In order to further explore the causal relationship between the two, the Granger causality test is used. Through this test, it is judged whether investor sentiment can predict the trend of the stock market in a statistical sense. Finally, impulse response analysis and variance decomposition analysis are used to track and quantify the impact of investor sentiment on the closing price of the CSI 500 Index and its gradual changes in the short and long term.
