Research on the Impact of Investor Sentiment on Stock Returns Based on the Bert-BiLSTM Model—A Case Study of Industrial and Commercial Bank of China

投资者情绪是影响股市走向的因素之一。本文爬取东方财富网工商银行股吧2024年1月1日至2024年12月31日评论，采用Bert-BilSTM模型对投资者情绪进行文本分析并判断情绪类型、测算每日投资者情绪指标。再通过基准回归研究投资者情绪指数与工商银行股票的关系。结果发现：(1) 投资者情绪预测中，Bert-BilSTM模型比Bert模型、BiLSTM模型更有效；(2) 投资者情绪与工商银行股票收益率呈正相关关系。(3) 不同市场环境下，投资者情绪对工商银行股票收益率有差异性影响。根据结果对监管机构与投资者分别提出建议。Investor sentiment is one of the factors that influence the direction of the stock market. This paper crawls the comments from the Industrial and Commercial Bank of China’s stock bar on Eastmoney.com from January 1, 2024, to December 31, 2024. It uses the Bert-BiLSTM model to analyze investor sentiment from the text and determine the type of sentiment, calculating the daily investor sentiment index. The relationship between the investor sentiment index and the stock performance of the Industrial and Commercial Bank of China is then studied using a benchmark regression. The results show that: (1) The Bert-BiLSTM model is more effective in predicting investor sentiment than the Bert model and the BiLSTM model; (2) Investor sentiment is positively correlated with the stock returns of the Industrial and Commercial Bank of China; (3) The impact of investor sentiment on the stock returns of the Industrial and Commercial Bank of China varies under different market conditions. Based on the results, suggestions are made for regulatory authorities and investors.