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Relationship between Herd Behavior and Chinese Stock Market Fluctuations during a Bullish Period Based on Complex Networks

Author

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  • Yong Shi

    (��School of Economics and Management, University of Chinese Academy of Sciences, No. 80 Zhongguancun East Street, Haidian District, Beijing 100190, P. R. China‡Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, No. 80 Zhongguancun East Street, Haidian District Beijing 100190, P. R. China§Research Center on Fictitious Economy & Data Science, Chinese Academy of Sciences, No. 80 Zhongguancun East Street, Haidian District, Beijing 100190, P. R. China¶College of Information Science and Technology, University of Nebraska at Omaha, 6001 Dodge Street, Omaha NE 68182, USA)

  • Yuanchun Zheng

    (School of Computer and Technology, University of Chinese Academy of Sciences, No. 3 Zhongguancun Nanyitiao Street, Haidian District, Beijing 100190, P. R. China‡Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, No. 80 Zhongguancun East Street, Haidian District Beijing 100190, P. R. China)

  • Kun Guo

    (��School of Economics and Management, University of Chinese Academy of Sciences, No. 80 Zhongguancun East Street, Haidian District, Beijing 100190, P. R. China‡Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences, No. 80 Zhongguancun East Street, Haidian District Beijing 100190, P. R. China§Research Center on Fictitious Economy & Data Science, Chinese Academy of Sciences, No. 80 Zhongguancun East Street, Haidian District, Beijing 100190, P. R. China)

  • Xinyue Ren

    (��Tsinghua-Berkeley Shenzhen Institute, Tsinghua University, No. 2279 Lishui Road, Nanshan District, Shenzhen, Guangdong 518055, P. R. China)

Abstract

Herding has a great impact on stock market fluctuations, and it is possible for researchers to analyze the herding effect due to the recent popularity of mobile Internet and the development of big data analysis technology. In this paper, we propose both investor-based and stock-based sentiment propagation networks of Chinese stock markets based on the simple pairwise correlation of posts’ sentiment indexes. And the relationship between the herding effect and Chinese stock market fluctuations is studied by comparing the network indicators with the Shanghai Securities Composite Index (SSCI) and the Causeway International Value Index (CIVIX). Through the experimental results, we find that the indicators are indeed ahead of the Chinese stock market. This study is the first attempt to model stock market sentiment by using a complex network, and it proves that investor behavior has a great effect on the stock market.

Suggested Citation

  • Yong Shi & Yuanchun Zheng & Kun Guo & Xinyue Ren, 2022. "Relationship between Herd Behavior and Chinese Stock Market Fluctuations during a Bullish Period Based on Complex Networks," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 405-421, January.
    • Handle: RePEc:wsi:ijitdm:v:21:y:2022:i:01:n:s0219622021400010
    DOI: 10.1142/S0219622021400010
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