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- Title
A TEXT MINING BASED STUDY OF INVESTOR SENTIMENT AND ITS INFLUENCE ON STOCK RETURNS.
- Authors
Yong SHI; Ye-ran TANG; Ling-xiao CUI; Wen LONG
- Abstract
This paper studies a broad sample of investors' online opinion posts on the largest stock forum in China. Using text mining methods with data cleaning, text representation, feature extraction, and two-step sentiment classification, the paper identifies individual investor sentiment and complies an index. Further, the investor sentiment index is applied to Chinese stock market, and a relatively comprehensive analysis is proposed to study the relationship between investor sentiment and the CSI 300 stock index returns. Empirical results suggest prediction effect of investor sentiment on the stock market returns. Investor sentiment has short-term positive effects and medium-run reverse effects on stock market. The asymmetric effect that high investor sentiment gets more obvious influence on stock returns has also been found. We examine cumulative changes of investor sentiment to verify our main conclusion.
- Subjects
TEXT mining; INVESTORS; RATE of return on stocks; STOCK exchanges; UNEMPLOYMENT statistics
- Publication
Economic Computation & Economic Cybernetics Studies & Research, 2018, Vol 52, Issue 1, p183
- ISSN
0424-267X
- Publication type
Article
- DOI
10.24818/18423264/52.1.18.11