本文利用A股数据，首先利用相关性分析对BW复合情绪指标在中国市场扮演的角色进行检验，发现与美股市场的实证结果不同，BW指数实际量化的是国内个人投资者情绪，而非机构投资者情绪。进而将该指标与股吧情绪指数做对比，月度回归结果表明，股吧情绪指数与市场总体收益的同期相关性更高且更显著，对于未来回报的预测力也更强；在横截面水平上，两类指标下上市公司特征变量的季度情绪效应表现大体一致，但不同风格股票基于股吧的情绪beta截面差异相对较小。综合来看，对国内市场而言，股吧情绪指数比BW指标更为有效，其同期解释力和跨期收益预测力均更强。

Based on A-share data, the artical first tests the role of BW composite sentiment index in the Chinese market using correlation analysis. It is found that different from the empirical results in American market, BW index actually quantifies the domestic individual investor sentiment, not institutional investor sentiment. Furthermore, we compare the indicator with Gubasenti, a personal sentiment index from stock bar platform. The monthly regression results show that the correlation between the index of Gubasenti and the overall market return is higher and more significant over the same period, and the prediction power for future returns is stronger than BW index. At the cross-sectional level, the quarterly sentiment effect of the listed companies' characteristic variables is mostly consistent under the two indicators,but the differences of different styles of stocks based on stock bar are relatively small.On the whole, for the domestic market, the stock bar sentiment index is more effective than BW index, and its explanatory power over the same period and intertemporal return forecasting power are strong.