How mood affects the stock market: Empirical evidence from microblogs

被引：47
作者：
Sun, Yuan [1 ,2 ]
Liu, Xuan [1 ]
Chen, Guangyue [3 ]
Hao, Yunhong [1 ]
Zhang, Zuopeng [4 ]
机构：
[1] Zhejiang Gongshang Univ, Sch Business Adm, 18 Xuezheng St, Hangzhou, Zhejiang, Peoples R China
[2] Zhejiang Gongshang Univ, Zheshang Res Inst, 149 JiaoGong Rd, Hangzhou, Zhejiang, Peoples R China
[3] Fudan Univ, Sch Management, 220 Handan Rd, Shanghai, Peoples R China
[4] Univ North Florida, Coggin Coll Business, Jacksonville, FL 32224 USA
来源：
INFORMATION & MANAGEMENT | 2020年 / 57卷 / 05期
基金：
中国国家自然科学基金;
关键词：
Text mining; Microblog; Sentiment analysis; Stock return; INVESTOR ATTENTION; MEDIA COVERAGE; SENTIMENT; RETURNS; NEWS; INFORMATION; PORTFOLIO; CONTAGION; BEHAVIOR; PRICES;
D O I：
10.1016/j.im.2019.103181
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Examining 22,504 tweets extracted from Sina Weibo, a microblog site, we identify two clusters of microblog users and study how they influence the stock market. Our research contributes the following significant findings to the existing literature. First, we discover that there exists an inverse U-shaped curve between stock return and the attention of both news media and investors. Second, we verify that news media attention plays a positive moderating effect in the relationship between investor attention and the stock return. Finally, we find that social interaction could positively moderate the effect of news media's and investor's sentiments on stock return.
引用
收藏
页数：11
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