Market Participant Sentiment and Market Pricing Efficiency: Empirical Research Based on Large-Cap Stocks and Small-Cap Stocks

DOI

10.2991/aebmr.k.200306.044How to use a DOI?

Keywords

sentiment of market participants, stock price synchronization, blue-chips and small-cap stocks

Abstract

This article takes the CSI 300 Index stocks and the CSI 500 index stocks in China’s A-share market as research objects, and uses crawler technology to crawl the number and content of stock bar postings and quantify the results. As a variable to measure investor attention and sentiment, the results empirically analyze the impact of investor attention on the synchronization of stock prices and the difference between optimism and pessimism. We Regard the CSI 300 index as a representative of blue-chip large-cap stocks, and the CSI 500 constituents as a representative of small and medium-cap stocks, and investigate the impact of investor attention on stock price synchronization in the blue chip sector and in the small and medium sector. The conclusion proves that stocks with higher investor attention have lower stock price synchronization, and optimism is more effective in reducing stock price synchronization than pessimism, and this phenomenon is more pronounced in small and medium-cap stocks.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Renze
PY  - 2020
DA  - 2020/03/11
TI  - Market Participant Sentiment and Market Pricing Efficiency: Empirical Research Based on Large-Cap Stocks and Small-Cap Stocks
BT  - Proceedings of the 5th International Conference on Financial Innovation and Economic Development (ICFIED 2020)
PB  - Atlantis Press
SP  - 252
EP  - 258
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.200306.044
DO  - 10.2991/aebmr.k.200306.044
ID  - 2020
ER  -