Investor Sentiment Affects the Trading Volume: an Evidence from Network Forums Text Analysis?

摘要：

　　By conducting a word frequency statistics in the posing on Eastmoney forum bar about SSE Composite Index from January 7,2010 to August 30,2013,we establish a set of keyword dictionary to measure investor sentiment effectively,and accordingly to study the mutual relations between the abnormal investor sentiment based on the network forums and the abnormal trading volume in the trading market.The empirical results show that investor sentiment of the trading day is positive correlated with abnormal trading volume of the trading day.The abnormal investor sentiment of the previous trading day is negative correlated with abnormal trading volume of the next trading day.We also take the weekly data into consideration and find that there is no significant correlation between abnormal investor sentiment and market abnormal trading volume during the same period,while investor sentiment of the previous week and abnormal trading volume of the next week are negatively correlated.

关键词： investor sentiment word frequency statistics abnormal trading volume

作者: Juanjuan Lai Tianlun Zheng Hongbo Yi Dayong Dong

作者单位: School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China

会议类型: 国际会议

会议名称: The 2014 10th International Conference on Natural Computation (ICNC 2014) and the 2014 11th International Conference on Fuzzy Systems and Knowledge Discovery (FSKD 2014)(第十届自然计算和第十一届模糊系统与知识发现国际会议)

会议地点: 厦门

会议语种:英文

页码: 675-680

在线出版日期: 2014-08-19（万方平台首次上网日期，不代表论文的发表时间）