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Harnessing the power of real-time forum opinion: Unveiling its impact on stock market dynamics using intraday high-frequency data in China

Author

Listed:
  • Tang, Zhenpeng
  • Lin, Qiaofeng
  • Cai, Yi
  • Chen, Kaijie
  • Liu, Dinggao

Abstract

This research utilizes data mining and text analysis methods to extract investor attention, emotion, and opinion convergence from stock forums. A Restricted Reverse MIDAS model is constructed to explore the dynamic effects of real-time public opinion on intraday high-frequency stock index and trading volume. The empirical results demonstrate a positive impact of forum public opinion on high-frequency stock index and trading volume, with a time attenuation effect observed. Specifically, midday public opinion significantly influences the afternoon high-frequency stock index, exhibiting an initial increase and subsequent decrease in investor sentiment, while investor attention and opinion convergence exhibit a decreasing trend. Nighttime attention and sentiment primarily affect the next morning's high-frequency stock index. Moreover, the real-time emotional impact on the stock market varies across different environments.

Suggested Citation

  • Tang, Zhenpeng & Lin, Qiaofeng & Cai, Yi & Chen, Kaijie & Liu, Dinggao, 2024. "Harnessing the power of real-time forum opinion: Unveiling its impact on stock market dynamics using intraday high-frequency data in China," International Review of Financial Analysis, Elsevier, vol. 93(C).
    • Handle: RePEc:eee:finana:v:93:y:2024:i:c:s105752192400142x
    DOI: 10.1016/j.irfa.2024.103210
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    More about this item

    Keywords

    Real-time public opinion; Data mining; High-frequency stock index; Reverse mixed-frequency analysis;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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