Article citationsMore>>

Yin, H. Y., & Wu, X. Y. (2019). Daily Investor Sentiment, Excess Return and Market Liquidity—Research on Time-Varying Correlation Based on DCC-GARCH Model. Journal of Beijing Institute of Technology (Social Sciences Edition), 21, 76-87+114.
https://doi.org/10.15918/j.jbitss1009-3370.2019.1776

has been cited by the following article:

• 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.