Does Social Emotion Affect Stock Return——The Evidence from Sina Weibo

利用新浪微博所反映的社会情绪,检验了社会情绪对我国股市收益的影响。研究发现:社会情绪与股市收益存在显著的正相关关系,而社会情绪波动与股市收益负相关;社会情绪本身虽然具有显著的周内特征和月度特征,但其对股市收益的影响仅具有显著的节假日效应和"小公司效应",不存在周内效应和月度效应;社会情绪较为低落时,股市收益对社会情绪波动的敏感度较高,极高涨的情绪与股市收益具有显著的正向关系,而极低落的情绪与股市收益无关。This study tests how the emotion affect China stock market, employing the social emotion generated from Weibo. We find that, generally, microblog emotion is positive with stock return, and fluctuation of microblog shows negative effect. Although microblog shows weekday and monthly effects, it only explains festival effect significantly, but no Monday and Friday effects. Furthermore, the sensitive of stock return and emotion fluctuation should be more pronounced in negative emotion environment. But in the extreme good or bad emotion circumstances, the positive emotion could gain stock return, the negative cannot. Otherwise, microblog emotion shows remarkable Small-Firm-Effect.国家自然科学基金重点项目(71232005)；国家自然科学基金青年科学基金项目(71402155)