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

摘要

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.