Computer Science ›› 2021, Vol. 48 ›› Issue (6A): 143-150.doi: 10.11896/jsjkx.201000016

• Big Data & Data Science • Previous Articles     Next Articles

Review of Research on Investor Sentiment Index in Stock Market

ZHANG Tong-ming, ZHANG Ning   

  1. School of Business,Qingdao University,Qingdao,Shandong 266100,China
  • Online:2021-06-10 Published:2021-06-17
  • About author:ZHANG Tong-ming,born in 1996,postgraduate.His main research interests include business data analysis and so on.
    ZHANG Ning,born in 1980,Ph.D,associate professor,postgraduate supervisor.His main research interests include business data analysis and so on.
  • Supported by:
    Social Science Planning Project of Shandong Province,China(18CHLJ22).

Abstract: Investor sentiment is widely used in stock market research.This paper collates the domestic and foreign literature on investor sentiment index and finds that the measurement and construction methods of investor sentiment index are divided into three categories.The first category is to use market survey indicators to directly replace investor sentiment;the second category is to select a single economic variable or a combination variable related to the stock market as a proxy variable to measure investor sentiment index;the third category is to obtain valuable information from social media to construct investor sentiment,including data source selection and text sentiment classification,and summarize the machine learning methods in sentiment classification.Based on the bullish index of investor sentiment,this paper classifies different degrees of investorsentiment in detail,and further proposes the topic-sentiment index (TSI) by using the topic extraction function of latent dirichlet allocation (LDA) model.This index overcomes the problem of only considering the sentiment characteristics of textual information in current research.The conclusion points out the deficiencies and challenges of current research,and aims to provide some reference for future research.

Key words: Investor sentiment, Measurement method, Stock market, Text mining, Topic-sentiment index

CLC Number: 

  • TP391
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