Investor sentiment and the Chinese index futures market: Evidence from the internet search

摘要

We use the search volume index in Baidu to reveal investor sentiment in the Chinese stock index futures market. We find that the abnormal search volume index predicts return reversal in the short term where the effect is mainly caused by the searches of investors who use personal computers rather than mobile devices. We also find that restriction on futures trading changes the relation between the abnormal search volume index and returns significantly. Overall, we provide a new set of results on the effects of investor sentiment on Chinese index futures markets.