Proceedings of the 2014 International Conference on Social Science

Network Forum Investor Sentiment, Sentiment Volatility And Stock Market-- An Empirical Analysis Based on Multivariate GARCH-BEKK Model

Authors
DaYong Dong, JuanJuan Lai, YuJia Long, HongBo Yi, TianLun Zheng
Corresponding Author
DaYong Dong
Available Online November 2014.
DOI
10.2991/icss-14.2014.12How to use a DOI?
Keywords
Network forum, investor sentiment, sentiment volatility, trading market
Abstract

Based on the text of posing on the network forum, we establish a set of keyword dictionary to measure the long and short investors’ sentiment effectively, then we investigate the mutual relations between investor sentiment and the trading market through a Multivariable BEKK-GARCH model of abnormal long and short investors sentiment, returns and abnormal trading volume. The results show that abnormal sentiment of long investor has a negative impact on the returns and a positive impact on the abnormal trading volume; While abnormal sentiment of short investor has no impact on the return and a negative impact on the abnormal trading volume. Otherwise, there is the negative volatility effect from abnormal sentiment of long investor to returns and abnormal trading volume, the positive volatility effects from abnormal sentiment of short investor to returns, and no volatility effects from abnormal sentiment of short investor to abnormal trading volume. In addition, network forum investor sentiment is a factor affecting the trading market. The analysis of forum information plays a certain role in presenting market risk and improving efficiency in making investment decision.

Copyright
© 2014, 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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Volume Title
Proceedings of the 2014 International Conference on Social Science
Series
Advances in Social Science, Education and Humanities Research
Publication Date
November 2014
ISBN
10.2991/icss-14.2014.12
ISSN
2352-5398
DOI
10.2991/icss-14.2014.12How to use a DOI?
Copyright
© 2014, 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/).

Cite this article

TY  - CONF
AU  - DaYong Dong
AU  - JuanJuan Lai
AU  - YuJia Long
AU  - HongBo Yi
AU  - TianLun Zheng
PY  - 2014/11
DA  - 2014/11
TI  - Network Forum Investor Sentiment, Sentiment Volatility And Stock Market-- An Empirical Analysis Based on Multivariate GARCH-BEKK Model
BT  - Proceedings of the 2014 International Conference on Social Science
PB  - Atlantis Press
SP  - 74
EP  - 82
SN  - 2352-5398
UR  - https://doi.org/10.2991/icss-14.2014.12
DO  - 10.2991/icss-14.2014.12
ID  - Dong2014/11
ER  -