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- Title
Unpacking the black box of investor sentiment: Structured sentiment and unstructured sentiment.
- Authors
Xiang, Lan; Ma, Yong; Liu, Zhiyu
- Abstract
This paper dissects investor sentiment into two distinct components: structured sentiment and unstructured sentiment, based on their underlying driving factors. Employing an extension of the classic noise trader model, our analysis reveals a negative relationship between market returns and both types of sentiment—structured and unstructured. Additionally, we find a positive association between market volatility and fluctuations in these sentiment components. Furthermore, the impact of fluctuations in unstructured sentiment on market volatility becomes more pronounced as the proportion of noise traders increases. Importantly, our theoretical assertions are robustly supported by empirical data.
- Subjects
MARKET sentiment; MARKET volatility; RELATIONSHIP marketing
- Publication
International Review of Finance, 2024, Vol 24, Issue 2, p334
- ISSN
1369-412X
- Publication type
Article
- DOI
10.1111/irfi.12440