Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-01-15
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
With the quick development of the Internet, online platforms that provide financial news and opinions have attracted more and more attention from investors.
The question whether investor sentiment expressed on the Internet platforms has an impact on asset return has not been fully addressed.
To this end, this paper uses the Baidu Searching Index as the agent variable to detect the effect of online investor sentiment on the asset price movement in the Chinese stock market.
The empirical study shows that although there is a cointegration relationship between online investor sentiment and asset return, the sentiment has a poor ability to predict the price, return, and volatility of asset price.
Meanwhile, the structural break points of online investor sentiment do not lead to changes in the asset price movement.
Based on the empirical mode decomposition of online investor sentiment, we find that high frequency components of online investor sentiment can be used to predict the asset price movement.
Thus, the obtained results could be useful for risk supervision and asset portfolio management.
American Psychological Association (APA)
Xie, Chi& Wang, Yuanxia. 2017. Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market. Mathematical Problems in Engineering،Vol. 2017, no. 2017, pp.1-11.
https://search.emarefa.net/detail/BIM-1189819
Modern Language Association (MLA)
Xie, Chi& Wang, Yuanxia. Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market. Mathematical Problems in Engineering No. 2017 (2017), pp.1-11.
https://search.emarefa.net/detail/BIM-1189819
American Medical Association (AMA)
Xie, Chi& Wang, Yuanxia. Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market. Mathematical Problems in Engineering. 2017. Vol. 2017, no. 2017, pp.1-11.
https://search.emarefa.net/detail/BIM-1189819
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1189819