The Effect of Online Investor Sentiment on Stock Movements: An LSTM Approach
Author
Abstract
Suggested Citation
DOI: 10.1155/2020/4754025
Download full text from publisher
References listed on IDEAS
- Cherng Ding & Hung-Jui Wang & Meng-Che Lee & Wen-Chi Hung & Chieh-Peng Lin, 2014. "How Does the Change in Investor Sentiment over Time Affect Stock Returns?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(S2), pages 144-158.
- Bouteska, Ahmed, 2019. "The effect of investor sentiment on market reactions to financial earnings restatements: Lessons from the United States," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
- Baker, Malcolm & Stein, Jeremy C., 2004.
"Market liquidity as a sentiment indicator,"
Journal of Financial Markets, Elsevier, vol. 7(3), pages 271-299, June.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," Harvard Institute of Economic Research Working Papers 1977, Harvard - Institute of Economic Research.
- Malcolm Baker & Jeremy C. Stein, 2002. "Market Liquidity as a Sentiment Indicator," NBER Working Papers 8816, National Bureau of Economic Research, Inc.
- Wang, Zi-Mei & Chiao, Chaoshin & Chang, Ya-Ting, 2012. "Technical analyses and order submission behaviors: Evidence from an emerging market," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 109-128.
- Sun, Yuxin & Ibikunle, Gbenga, 2017. "Informed trading and the price impact of block trades: A high frequency trading analysis," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 114-129.
- Renault, Thomas, 2017.
"Intraday online investor sentiment and return patterns in the U.S. stock market,"
Journal of Banking & Finance, Elsevier, vol. 84(C), pages 25-40.
- Thomas Renault, 2017. "Intraday online investor sentiment and return patterns in the U.S. stock market," Post-Print hal-03205113, HAL.
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
- Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," NBER Working Papers 13189, National Bureau of Economic Research, Inc.
- Thomas Renault, 2017. "Intraday online investor sentiment and return patterns in the U.S. stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03205113, HAL.
- Xiaojun Chu & Chongfeng Wu & Jianying Qiu, 2016. "A nonlinear Granger causality test between stock returns and investor sentiment for Chinese stock market: a wavelet-based approach," Applied Economics, Taylor & Francis Journals, vol. 48(21), pages 1915-1924, May.
- Lee, Wayne Y. & Jiang, Christine X. & Indro, Daniel C., 2002. "Stock market volatility, excess returns, and the role of investor sentiment," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2277-2299.
- Doojin Ryu & Hyeyoen Kim & Heejin Yang, 2017. "Investor sentiment, trading behavior and stock returns," Applied Economics Letters, Taylor & Francis Journals, vol. 24(12), pages 826-830, July.
- Yang Xiao & Beiqun Li & Zaiwu Gong, 2018. "Real-time identification of urban rainstorm waterlogging disasters based on Weibo big data," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 94(2), pages 833-842, November.
- Kim, Soon-Ho & Kim, Dongcheol, 2014. "Investor sentiment from internet message postings and the predictability of stock returns," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 708-729.
- Xian Li & James A. Hendler & John L. Teall, 2016. "Investor Attention on the Social Web," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 17(1), pages 45-59, January.
- Yonghong Jiang & Bin Mo & He Nie, 2018. "Does investor sentiment dynamically impact stock returns from different investor horizons? Evidence from the US stock market using a multi-scale method," Applied Economics Letters, Taylor & Francis Journals, vol. 25(7), pages 472-476, April.
- Dimpfl Thomas & Kleiman Vladislav, 2019.
"Investor Pessimism and the German Stock Market: Exploring Google Search Queries,"
German Economic Review, De Gruyter, vol. 20(1), pages 1-28, February.
- Thomas Dimpfl & Vladislav Kleiman, 2019. "Investor Pessimism and the German Stock Market: Exploring Google Search Queries," German Economic Review, Verein für Socialpolitik, vol. 20(1), pages 1-28, February.
- Joseph, Kissan & Babajide Wintoki, M. & Zhang, Zelin, 2011. "Forecasting abnormal stock returns and trading volume using investor sentiment: Evidence from online search," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1116-1127, October.
- Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015.
"Investor Sentiment Aligned: A Powerful Predictor of Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 791-837.
- Dashan Huang & Fuwei Jiang & Jun Tu & Guofu Zhou, 2015. "Investor Sentiment Aligned: A Powerful Predictor of Stock Returns," CEMA Working Papers 676, China Economics and Management Academy, Central University of Finance and Economics.
- Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020. "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 334-357.
- Schmeling, Maik, 2009.
"Investor sentiment and stock returns: Some international evidence,"
Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
- Schmeling, Maik, 2008. "Investor sentiment and stock returns: Some international evidence," Hannover Economic Papers (HEP) dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Sun, Licheng & Najand, Mohammad & Shen, Jiancheng, 2016. "Stock return predictability and investor sentiment: A high-frequency perspective," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 147-164.
- Zhifang He & Linjie He & Fenghua Wen, 2019. "Risk Compensation and Market Returns: The Role of Investor Sentiment in the Stock Market," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 55(3), pages 704-718, February.
- P. Corredor & E. Ferrer & R. Santamaria, 2015. "The Impact of Investor Sentiment on Stock Returns in Emerging Markets: The Case of Central European Markets," Eastern European Economics, Taylor & Francis Journals, vol. 53(4), pages 328-355, July.
- Siganos, Antonios & Vagenas-Nanos, Evangelos & Verwijmeren, Patrick, 2014. "Facebook's daily sentiment and international stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 730-743.
- Adachi, Yuta & Masuda, Motoki & Takeda, Fumiko, 2017. "Google search intensity and its relationship to the returns and liquidity of Japanese startup stocks," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 243-257.
- Hung, Pi-Hsia, 2016. "Investor sentiment, order submission, and investment performance on the Taiwan Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 124-140.
- Paul C. Tetlock, 2007. "Giving Content to Investor Sentiment: The Role of Media in the Stock Market," Journal of Finance, American Finance Association, vol. 62(3), pages 1139-1168, June.
- Ni, Zhong-Xin & Wang, Da-Zhong & Xue, Wen-Jun, 2015. "Investor sentiment and its nonlinear effect on stock returns—New evidence from the Chinese stock market based on panel quantile regression model," Economic Modelling, Elsevier, vol. 50(C), pages 266-274.
- Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2017.
"A behavioural model of investor sentiment in limit order markets,"
Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 71-86, January.
- Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2014. "A Behavioural Model of Investor Sentiment in Limit Order Markets," Research Paper Series 342, Quantitative Finance Research Centre, University of Technology, Sydney.
- Cherng G. Ding & Hung-Jui Wang & Meng-Che Lee & Wen-Chi Hung & Chieh-Peng Lin, 2014. "How Does the Change in Investor Sentiment over Time Affect Stock Returns?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 50(2S), pages 144-158, March.
- Zhaohui Zhu & Xiaoyan Song & WenSheng Huang, 2018. "Top management team demography, investor sentiment, and the investment levels of listed companies," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 25(3-4), pages 481-495, May.
- Tim Loughran & Bill Mcdonald, 2011. "When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks," Journal of Finance, American Finance Association, vol. 66(1), pages 35-65, February.
- Hailiang Chen & Prabuddha De & Yu (Jeffrey) Hu & Byoung-Hyoun Hwang, 2014. "Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media," The Review of Financial Studies, Society for Financial Studies, vol. 27(5), pages 1367-1403.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Shah, Syed Faisal & Albaity, Mohamed, 2022. "The role of trust, investor sentiment, and uncertainty on bank stock return performance: Evidence from the MENA region," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
- Shen, Yiran & Liu, Chang & Sun, Xiaolei & Guo, Kun, 2023. "Investor sentiment and the Chinese new energy stock market: A risk–return perspective," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 395-408.
- Albaity, Mohamed & Shah, Syed Faisal & Al-Tamimi, Hussein A.Hassan & Rahman, Mahfuzur & Thangavelu, Shanmugam, 2023. "Country risk and bank returns: Evidence from MENA countries," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
- Bouteska, Ahmed & Cardillo, Giovanni & Harasheh, Murad, 2023. "Is it all about noise? Investor sentiment and risk nexus: evidence from China," Finance Research Letters, Elsevier, vol. 57(C).
- Xia, Dehua & Shi, Junfeng, 2024. "Individual investors’ online voice and corporate environmental information disclosure," Finance Research Letters, Elsevier, vol. 62(PB).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Wang, Gaoshan & Yu, Guangjin & Shen, Xiaohong, 2021. "The effect of online environmental news on green industry stocks: The mediating role of investor sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 573(C).
- Zachary McGurk & Adam Nowak & Joshua C. Hall, 2020.
"Stock returns and investor sentiment: textual analysis and social media,"
Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(3), pages 458-485, July.
- Zachary McGurk & Adam Nowak & Joshua C. Hall, 2019. "Stock Returns and Investor Sentiment: Textual Analysis and Social Media," Working Papers 19-03, Department of Economics, West Virginia University.
- Szymon Lis, 2024. "Investor Sentiment in Asset Pricing Models: A Review of Empirical Evidence," Papers 2411.13180, arXiv.org.
- Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Bonsu, Christiana Osei & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "The effects of public sentiments and feelings on stock market behavior: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 443-472.
- Karam KIM & Doojin RYU, 2020. "Predictive ability of investor sentiment for the stock market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 33-46, December.
- Shah, Syed Faisal & Albaity, Mohamed, 2022. "The role of trust, investor sentiment, and uncertainty on bank stock return performance: Evidence from the MENA region," The Journal of Economic Asymmetries, Elsevier, vol. 26(C).
- Szymon Lis, 2022. "Investor Sentiment in Asset Pricing Models: A Review," Working Papers 2022-14, Faculty of Economic Sciences, University of Warsaw.
- Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Pedro Manuel Nogueira Reis & Carlos Pinho, 2021. "A Reappraisal of the Causal Relationship between Sentiment Proxies and Stock Returns," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 22(4), pages 420-442, October.
- Seok, Sangik & Cho, Hoon & Ryu, Doojin, 2022. "Scheduled macroeconomic news announcements and intraday market sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Anand, Abhinav & Basu, Sankarshan & Pathak, Jalaj & Thampy, Ashok, 2021. "The impact of sentiment on emerging stock markets," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 161-177.
- Mahmoudi, Nader & Docherty, Paul & Melia, Adrian, 2022. "Firm-level investor sentiment and corporate announcement returns," Journal of Banking & Finance, Elsevier, vol. 144(C).
- Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2021. "Stock Market’s responses to intraday investor sentiment," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Seok, Sang Ik & Cho, Hoon & Ryu, Doojin, 2019. "Firm-specific investor sentiment and daily stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
- Ung, Sze Nie & Gebka, Bartosz & Anderson, Robert D.J., 2023. "Is sentiment the solution to the risk–return puzzle? A (cautionary) note," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
- Fang, Hao & Chung, Chien-Ping & Lu, Yang-Cheng & Lee, Yen-Hsien & Wang, Wen-Hao, 2021. "The impacts of investors' sentiments on stock returns using fintech approaches," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Daniele Ballinari & Simon Behrendt, 2021. "How to gauge investor behavior? A comparison of online investor sentiment measures," Digital Finance, Springer, vol. 3(2), pages 169-204, June.
- Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
- Di, Li & Shaiban, Mohammed Sharaf & Hasanov, Akram Shavkatovich, 2021. "The power of investor sentiment in explaining bank stock performance: Listed conventional vs. Islamic banks," Pacific-Basin Finance Journal, Elsevier, vol. 66(C).
- Naeem, Muhammad Abubakr & Farid, Saqib & Faruk, Balli & Shahzad, Syed Jawad Hussain, 2020. "Can happiness predict future volatility in stock markets?," Research in International Business and Finance, Elsevier, vol. 54(C).
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:complx:4754025. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.