Measurement of Individual Investor Sentiment and Its Application: Evidence from Chinese Stock Message Board

Huang, Chuangxia; Wen, Shigang; Xin, Yang; Cao, Jinde; Yang, Xibei

doi:10.1080/1540496x.2020.1835637

Cited by 12 publications

(15 citation statements)

References 34 publications

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“…They show that: (i) compared to traditional methods, SO-LNPMI has higher accuracy and better adaptive property of probability estimate; (ii) negative sentiment is negatively correlated with market returns, whereas positive sentiment does not have any statistically significant impact on market returns; (iii) positive (negative) sentiment is negatively (positively) correlated with market volatility. Their results survive a range of robustness tests (Huang et al, 2022 ).…”

Section: Literature Review and Conceptual Frameworkmentioning

confidence: 77%

Cross Country Determinants of Investors' Sentiments Prediction in Emerging Markets Using ANN

Rao¹,

Kumar²,

Moonesar³

et al. 2022

Front. Artif. Intell.

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The paper models investor sentiments (IS) to attract investments for Health Sector and Growth in emerging markets, viz., India, Mainland China, and the UAE, by asking questions such as: What specific healthcare sector opportunities are available in the three markets? Are the USA-IS key IS predictors in the three economies? How important are macroeconomic and sociocultural factors in predicting IS in these markets? How important are economic crises and pandemic events in predicting IS in these markets? Is there contemporaneous relation in predicting IS across the three countries in terms of USA-IS, and, if yes, is the magnitude of the impact of USA-IS uniform across the three countries' IS? The artificial neural network (ANN) model is applied to weekly time-series data from January 2003 to December 2020 to capture behavioral elements in the investors' decision-making in these emerging economies. The empirical findings confirmed the superiority of the ANN framework over the traditional logistic model in capturing the cognitive behavior of investors. Health predictor—current health expenditure as a percentage of GDP, USA IS predictor—spread, and Macro-factor GDP—annual growth % are the common predictors across the 3 economies that positively impacted the emerging markets' IS behavior. USA (S&P 500) return is the only common predictor across the three economies that negatively impacted the emerging markets' IS behavior. However, the magnitude of both positive and negative impacts varies across the countries, signifying unique, diverse socioeconomic, cultural, and market features in each of the 3 economies. The results have four key implications: Firstly, US market sentiments are an essential factor influencing stock markets in these countries. Secondly, there is a need for developing a robust sentiment proxy on similar lines to the USA in the three countries. Thirdly, investment opportunities in the healthcare sector in these economies have been identified for potential investments by the investors. Fourthly, this study is the first study to investigate investors' sentiments in these three fast-emerging economies to attract investments in the Health Sector and Growth in the backdrop of UN's 2030 SDG 3 and SDG 8 targets to be achieved by these economies.

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Section: Literature Review and Conceptual Frameworkmentioning

confidence: 77%

Cross Country Determinants of Investors' Sentiments Prediction in Emerging Markets Using ANN

Rao¹,

Kumar²,

Moonesar³

et al. 2022

Front. Artif. Intell.

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show abstract

“…ey proved that user messages do have useful information about future asset prices although social media data is generated by individual users and not investment professionals. Huang et al [49] found that negative online individual investor sentiment is negatively correlated with market returns while positive sentiment does not have a significant effect on market returns. Lv et al [50] derived online investor sentiment indicators from investor comments and found that the SSE (Shanghai Stock Exchange) Composite Index returns are significantly affected by online investor sentiment.…”

Section: E Role Of Investor Sentimentmentioning

confidence: 99%

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

Wang

2021

Discrete Dynamics in Nature and Society

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This paper investigates whether and how the research reports issued by securities companies affect stock returns from the perspective of investor sentiment in China. By collecting research reports and investor comments from a popular Chinese investor community, i.e., East Money, we derive two indices that represent the information contained in research reports: one is the attention of research reports and the other is the average stock rating given by research reports; then we develop an investor sentiment indicator using the machine learning method. Based on behavioral finance theory, we hypothesize that research reports have a significant effect on stock returns and investor sentiment plays a mediating role in it. The empirical analysis results confirm the above hypotheses. Specifically, the average stock rating given by research reports can better predict future stock returns, and investor sentiment plays a partial mediating role in the relationship between stock rating and stock returns.

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“…However, this recommendation is apparently contradicted by the high concentration of financial assets observed in household portfolios, which tend to be made up of a limited number of financial assets; it is very common for households to “put all their eggs in one basket.” Household investors are often irrational and struggle to maintain their financial security (Huang et al, 2022; Li et al, 2021; Metzler et al, 2021; Wen et al, 2021). Previous literature has revealed that household portfolio under‐diversification is a problem in the Netherlands, the United States, Germany, Australia and other developed countries (Barasinska et al, 2008; Polkovnichenko, 2005; Von Gaudecker, 2015).…”

Section: Introductionmentioning

confidence: 99%

Information diversity and household portfolio diversification

Liu

Zhang

2022

Int. J Fin Econ

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This study focuses on the role of information diversity in household portfolio diversification, using data from the China Household Financial Survey. We first propose a novel information diversity index which incorporates both information channels and information fields (i.e., information topics people pay attention to). Subsequently, empirical tests demonstrate that information diversity significantly affects households' participation in stock, fund and insurance markets. We further construct a household portfolio diversification index and find that information diversity also has a significant positive effect on portfolio diversification. Furthermore, a positive relationship between information diversity and portfolio returns is confirmed. Finally, this study identifies the crucial role of economic and financial information; if this information is lacking, information diversity does not have the same positive impact in some cases.

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Measurement of Individual Investor Sentiment and Its Application: Evidence from Chinese Stock Message Board

Cited by 12 publications

References 34 publications

Cross Country Determinants of Investors' Sentiments Prediction in Emerging Markets Using ANN

Cross Country Determinants of Investors' Sentiments Prediction in Emerging Markets Using ANN

The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment

Information diversity and household portfolio diversification

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