Effects of investor sentiment on stock volatility: new evidences from multi-source data in China’s green stock markets

Abstract

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic field and the real financial industry. With the proposal of China's "dual carbon" target, green stocks have gradually become an essential branch of Chinese stock markets. Focusing on 106 stocks from the new energy, environmental protection, and carbon–neutral sectors, we construct two investor sentiment proxies using Internet text and stock trading data, respectively. The Internet sentiment is based on posts from Eastmoney Guba, and the trading sentiment comes from a variety of trading indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of investor sentiment on different types of volatilities. Our empirical findings show that both sentiment indices impose significant positive impacts on realized, continuous, and jump volatilities, where trading sentiment is the main factor. We further explore the mediating effect of information asymmetry, measured by the volume-synchronized probability of informed trading (VPIN), on the path of investor sentiment affecting stock volatility. It is evidenced that investor sentiments are positively correlated with the VPIN, and they can affect volatilities through the VPIN. We then divide the total sample around the coronavirus disease 2019 (COVID-19) pandemic. The empirical results reveal that the market volatility after the COVID-19 pandemic is more susceptible to investor sentiments, especially to Internet sentiment. Our study is of great significance for maintaining the stability of green stock markets and reducing market volatility.

ARCH/GARCH Analysis: Estimating Beef Price Volatility in Indonesia

“…Various external and internal factors can cause price volatility in commodity markets. Huang et al (2011) and Nurlita & Naomi (2019) found that political events or corporate performance can trigger price volatility, while Gao et al (2022) showed market sentiment as another factor influencing price volatility.…”

تأثیر جودة المعلومات المحاسبیة على العلاقة بین میول المستثمرین وخطر انهیار أسعار الأسهم: أدلة من الشركات المقیدة بالبورصة المصریة

“…(Aggarwal, 2022;Brown & Cliff, 2004;Lee et al, 2002;Verma & Verma, 2008) . (Baker & Stein, 2004;Baker & Wurgler, 2007;Luo, 2012;Naik & Padhi, 2016;Ryu et al, 2017;Seok et al, 2019) (Alnafea & Chebbi, 2022;Baker & Stein, 2004;Baker & Wurgler, 2007;Fu et al, 2021;Luo, 2012;Naik & Padhi, 2016;Ryu et al, 2017;Seok et al, 2019) (Alnafea & Chebbi, 2022;Fu et al, 2021;Gao et al, 2022;Luo et al, 2021;Naik & Padhi, 2016 (Baker & Wurgler, 2007;Lee et al, 1991;Qiu & Welch, 2004) . Chebbi, 2022;Cui & Zhang, 2020;Fan et al, 2021;Fu et al, 2021;Wu et al, 2021;Yin & Tian, 2017) .…”

Assessing the impact path of air quality on enterprise R&D investment: Empirical evidence from dual perspectives of investor sentiment and government concern

“…That is, the cumulative monthly rate of return Sent which considers a cash bonus with a 6-month lag period, is used to measure investor sentiment. At the same time, the cumulative monthly rate of return Sent 0, which does not consider a cash bonus with a 6-month lag period, is used to test the robustness (Gao et al, 2022). Government supervision (GS): It is common practice at home and abroad that the government funds R&D funds, and social forces are involved.…”