The weekly cycle of investor sentiment and the holiday effect-- An empirical study of Chinese stock market based on natural language processing

Liu, Qing; Wang, Xinyuan; Du, Yamin

doi:10.1016/j.heliyon.2022.e12646

Cited by 9 publications

(4 citation statements)

References 46 publications

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“…They found that it significantly positively affected daily stock index returns in mainland China, Japan, Malaysia, Hong Kong, Taiwan, and other countries or regions. Liu et al (2022) also discovered that during holiday periods without stock market stimuli, investor sentiment in China significantly increased, exhibiting a classic holiday effect. In their study of the holiday effect on the Thai stock market, Chancharat et al (2020) found significant positive returns in the Thai stock market before and after holiday periods, with the abnormal return rate before holidays being higher than after holidays.…”

Section: Literature Reviewmentioning

confidence: 95%

Investor sentiment and the holiday effect in the cryptocurrency market: evidence from China

Zhang,

Xu,

Huang

et al. 2024

Financ Innov

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This study employs a fixed-effects model to investigate the holiday effect in the cryptocurrency market, using trading data for the top 100 cryptocurrencies by market capitalization on Coinmarketcap.com from January 1, 2017 to July 1, 2022. The results indicate that returns on cryptocurrencies increase significantly during Chinese holiday periods. Additionally, we use textual analysis to construct an investor sentiment indicator and find that positive investor sentiment boosts cryptocurrency market returns. However, when positive investor sentiment prevails in the cryptocurrency market, the holiday effect weakens, implying that positive investor sentiment attenuates the holiday effect. Robustness tests based on the Bitcoin market generate consistent results. Moreover, this study explores the mechanisms underlying the cryptocurrency holiday effect and examines the impact of epidemic transmission risk and heterogeneity characteristics on this phenomenon. These findings offer novel insights into the impact of Chinese statutory holidays on the cryptocurrency market and illuminate the role of investor sentiment in this market.

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Section: Literature Reviewmentioning

confidence: 95%

Investor sentiment and the holiday effect in the cryptocurrency market: evidence from China

Zhang,

Xu,

Huang

et al. 2024

Financ Innov

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“…They highlighted the impact of cultural disparities and government responses on insider behavior during health crises, emphasizing the pivotal role of transparent business systems in rebuilding investor trust. Liu et al (2023) devised an Investor Confidence Index (ICI) using social network data, revealing a cyclic influence on sentiment across a 5-day trading and 2-day holiday cycle. Their findings unveiled weekday market fluctuations and weekend stability, known as the holiday effect, elucidating the tie between investor sentiment and stock market dynamics.…”

Section: Literature Reviewmentioning

confidence: 99%

Unveiling COVID-19’s impact on Financial Stability: A Comprehensive Study of Price Dynamics and Investor Behavior in G7 Markets

Talbi,

Ferchichi,

Ismaalia

et al. 2024

IJEFI

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The paper delves into the impact of the COVID-19 pandemic on foreign stock markets across several developed nations. It seeks to empirically validate the presence of contagion by employing an adjusted correlation test spanning 7 developing stock markets from February 1, 1992, to April 31, 2021. Employing the FIEGARCH (1.1), DCC-MGARCH(1,1), and Switching-Markov analysis models, the research uncovers compelling evidence of the pandemic's influence on most developed countries during the COVID-19 period. Notably, these markets appear significantly susceptible to the adverse effects brought about by the pandemic. Recognizing the substantial ramifications of financial downturns on monetary policy, risk assessment, asset valuation, and portfolio distribution, the findings hold paramount significance for policymakers, investors, and portfolio managers. This empirical investigation offers insights that could profoundly impact decision-making strategies in these domains, shedding light on crucial aspects for informed policy adjustments, investment decisions, and portfolio allocations amidst such critical market fluctuations.

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“…COVID-19's effects on financial markets are multifaceted. Researchers often use the emergence of COVID-19 as a proxy for investor sentiment (Liu et al 2022b), and they measure its effect by comparing financial markets before and after its onset (Chen et al 2020;Huynh et al 2021). However, the severity of COVID-19's effect is continually evolving (Zhang et al 2021), as are the strategies for managing COVID-19.…”

Section: (6) If = Pearson(is Sm)mentioning

confidence: 99%

The game of lies by stock investors in social media: a study based on city lockdowns in China

Liu,

Son,

Lee

2024

Financ Innov

Self Cite

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The potential hypotheses for finance research based on social media sentiment revolve around the reliability of investor sentiment expressed on social media and the causal relationship between financial markets and this sentiment. The central hypothesis we focus on is derived from the "lie game" played by investors on social media. This study is the first to explore three states of this lie game in the context of the Chinese stock market: the "equilibrium state", the "confusion state", and the "subversion state". Our findings indicate that the "equilibrium" state is the typical state of the lie game, where increased investor sentiment results in more positive market behavior, and higher stock prices lead to increased investor sentiment. We also examine the effect of significant social events, such as the "lockdown in Wuhan" and the "lockdown in Shanghai", on the lie game's outcome. The successful lockdown in Wuhan and the public's opposition to the politicization of COVID-19 reinforced the "equilibrium" state of the game. However, the Shanghai lockdown's failure to promptly halt the spread of COVID-19 led to the intertwining of the economy and COVID-19 in public discourse, shifting the lie game's outcome from an "equilibrium state" to a "subversive state". We emphasize that the "confusion state" and "subversion state" outcomes of the lie game are concerning, and managing public opinion and the externalization of domestic conflicts can help reduce this risk. This study offers a fresh perspective on the traditional issues of investor sentiment reliability and the causal relationship between investor sentiment and stock markets.

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The weekly cycle of investor sentiment and the holiday effect-- An empirical study of Chinese stock market based on natural language processing

Cited by 9 publications

References 46 publications

Investor sentiment and the holiday effect in the cryptocurrency market: evidence from China

Investor sentiment and the holiday effect in the cryptocurrency market: evidence from China

Unveiling COVID-19’s impact on Financial Stability: A Comprehensive Study of Price Dynamics and Investor Behavior in G7 Markets

The game of lies by stock investors in social media: a study based on city lockdowns in China

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