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Comovements between multidimensional investor sentiment and returns on internet financial products

Author

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  • Chen, Rongda
  • Wang, Shengnan
  • Jin, Chenglu
  • Yu, Jingjing
  • Zhang, Xinyu
  • Zhang, Shuonan

Abstract

We establish multidimensional investor sentiments of Internet financial products (ISIFP) using a text mining method and data from WeChat subscriptions in China. Our comprehensive ISIFP measure is more affected by negative sentiment information. We investigate eight dimensions of ISIFP and find that seven sentiments (joy, anger, sadness, fear, calmness, disgust, and surprise) increase market risk and decrease expected returns, whereas the goodness sentiment has a leverage effect on returns on Internet financial products (IFPs). The dimensions of ISIFP have different impacts on returns on IFPs at different quantiles.

Suggested Citation

  • Chen, Rongda & Wang, Shengnan & Jin, Chenglu & Yu, Jingjing & Zhang, Xinyu & Zhang, Shuonan, 2023. "Comovements between multidimensional investor sentiment and returns on internet financial products," International Review of Financial Analysis, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003830
    DOI: 10.1016/j.irfa.2022.102433
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    Cited by:

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    2. Liu, Yang & Liang, Yanzi & Lan, Xinchen & Lu, Zheng, 2024. "Nonparametric statistical inference for stochastic optimal control problems and its applications for financial investment," Finance Research Letters, Elsevier, vol. 64(C).
    3. Day, Min-Yuh & Ni, Yensen, 2023. "Be greedy when others are fearful: Evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes," International Review of Financial Analysis, Elsevier, vol. 90(C).
    4. Abakah, Emmanuel Joel Aikins & Abdullah, Mohammad & Yousaf, Imran & Kumar Tiwari, Aviral & Li, Yanshuang, 2024. "Economic sanctions sentiment and global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    5. Li, Jia & Yang, Jianfei, 2024. "Financial shocks, investor sentiment, and heterogeneous firms’ output volatility: Evidence from credit asset securitization markets," Finance Research Letters, Elsevier, vol. 60(C).

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