TITLE:
Study Based on SNOWNLP Model Mining of Stock Bar Investors’ Emotions on Stock Prices
AUTHORS:
Chenyu Li
KEYWORDS:
Investor Sentiment, Stock Price Index, SNOWNLP, Multivariate GARCH, Mediation Effect, Crawler
JOURNAL NAME:
Modern Economy,
Vol.14 No.6,
June
30,
2023
ABSTRACT: The SNOWNLP algorithm for sentiment assessment is
used to evaluate Eastern Fortune stock bar posts to determine investor
sentiment. A VAR-DCC-MGARCH
model is initially constructed in order to study the relationship between
investor sentiment and the financial time series of the SSE index price. A
benchmark regression is built once more to study how investor sentiment impacts stock prices. According to a mediating route
test, daily trading volume is a mediating element of investor sentiment on the
price of the SSE index, which further finds that investor sentiment has a
direct significant positive influence on the stock price. Finally, both the instrumental
variable endogeneity test and the replacing variable robustness test reach the
same conclusion and support the validity of the results.