中文摘要：

运用词频统计方法对2010年1月7日至2013年8月30日东方财富网上证指数吧每日主题发帖内容进行词频统计,构建有效衡量网络论坛投资者情绪的＂多方情绪＂与＂空方情绪＂关键词词典,并运用关键词词典考察网络论坛投资者情绪与交易市场成交量、收益率的关系。结果表明,投资者多空双方的情绪对交易市场成交量和收益率存在非对称影响,投资者空方情绪比多方情绪对市场成交量的影响明显,投资者多方情绪比空方情绪对收益率的影响明显;非交易时段投资者多方情绪对市场未来收益率存在影响。

英文摘要：

By conducting a word frequency statistics to the postings in SSE Composite Index Bar of Eastmoney in the period from January 7,2010 to August 30,2013,we make a keyword dictionary of ＂the bull sentiment＂and ＂the bear sentiment＂for effective assessment of the investor sentiments in network forums. We use the keyword dictionary to study the relationship between investor sentiments in network forums and market volume and return. The empirical results show that bull and bear sentiments of investors have asymmetric effects on the trading volume and returns of the market. The bear sentiment of investors has a significantly bigger impact on the market trading volume than the bull sentiment,but the bull sentiment has a significantly bigger impact on the market return than the bear sentiment. In non-trading hours,the bull sentiment of investors has an impact on future returns.