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Does online investor sentiment impact stock returns? Evidence from the Chinese stock market

Author

Listed:
  • Yanzhao Lv
  • Jingzhe Piao
  • Boning Li
  • Meijuan Yang

Abstract

The authors use crawler software to capture the data of investor post content and reading volume from the stock bar of Eastmoney and then utilize textual analysis method to construct positive and negative investor sentiment indicators. The authors use VAR model to examine the Granger causality between investor sentiment and stock returns for the Chinese stock market. The results indicate that negative sentiment indicators have more explanatory power in determining stock returns than positive sentiment indicators. Evidence from impulse responses also shows that investor sentiment reacts to stock returns in short-term.

Suggested Citation

  • Yanzhao Lv & Jingzhe Piao & Boning Li & Meijuan Yang, 2022. "Does online investor sentiment impact stock returns? Evidence from the Chinese stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 29(15), pages 1434-1438, September.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:15:p:1434-1438
    DOI: 10.1080/13504851.2021.1937490
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    Cited by:

    1. Jin Li, 2023. "Analysis of Evolving Hazard Overflows and Construction of an Alert System in the Chinese Finance Industry Using Statistical Learning Methods," Mathematics, MDPI, vol. 11(15), pages 1-26, July.

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