摘 要
金融市场中的投资者情绪对市场波动具有重要影响，这一研究领域近年来受到广泛关注。本研究以投资者情绪与市场波动的关系为核心，基于行为金融学理论，结合大数据分析方法，探讨了投资者情绪如何通过信息传播和心理预期机制作用于市场波动。研究选取中国A股市场为样本，采用文本挖掘技术提取社交媒体数据中的情绪指标，并结合传统金融数据进行实证分析。结果表明，投资者情绪不仅能够显著预测短期市场波动，还通过放大效应加剧了市场的非理性波动。此外，本研究首次引入情绪异质性概念，发现不同情绪类型对市场波动的影响存在显著差异。研究表明，在复杂市场环境中，投资者情绪的动态变化是理解市场波动的重要维度。本研究的主要贡献在于将情绪分析与金融市场波动研究相结合，为市场监管和风险控制提供了新的视角和实证依据，同时为投资者决策提供了参考价值。
关键词：投资者情绪；市场波动；行为金融学
Abstract
Investor sentiment in financial markets plays a crucial role in market volatility and has garnered significant attention in recent years. This study focuses on the relationship between investor sentiment and market volatility, drawing on behavioral finance theory and integrating big data analysis methods to explore how investor sentiment influences market fluctuations through mechanisms of information dissemination and psychological expectations. By selecting the Chinese A-share market as a sample, this research employs text mining techniques to extract sentiment indicators from social media data and combines them with traditional financial data for empirical analysis. The findings indicate that investor sentiment not only significantly predicts short-term market volatility but also exacerbates irrational market fluctuations through amplification effects. Additionally, this study introduces the concept of sentiment heterogeneity for the first time, revealing significant differences in the impact of various types of sentiment on market volatility. The research demonstrates that the dynamic changes in investor sentiment are a critical dimension for understanding market fluctuations in complex market environments. The primary contribution of this study lies in integrating sentiment analysis with the study of financial market volatility, providing new perspectives and empirical evidence for market regulation and risk control, while offering valuable references for investor decision-making.
Keywords: Investor Sentiment；Market Volatility；Behavioral Finance
目 录
引言 1
一、投资者情绪的理论基础 1
（一）投资者情绪的概念界定 1
（二）投资者情绪的研究发展历程 2
（三）投资者情绪与金融市场的关系 2
二、市场波动的驱动机制分析 3
（一）市场波动的基本特征 3
（二）投资者情绪对市场波动的影响路径 3
（三）其他因素与投资者情绪的交互作用 3
三、数据分析与实证研究方法 4
（一）数据来源与样本选择 4
（二）实证模型构建与变量设定 4
（三）方法论的选择与合理性分析 5
四、研究结果与案例分析 5
（一）实证结果的主要发现 5
（二）特定市场情境下的案例探讨 6
（三）投资者情绪与市场波动的动态关系 6
结 论 7
致 谢 8
参考文献 9
