Abstract:
In this paper, we test the cross effect of local bias and investor sentiment on stock markets. Text messages posted by investors are downloaded from an online stock forum in China. We build the Investor Sentiment Index based on the message content and the Local Bias Index based on their IP address. The empirical results show that the effect of Local Bias Index on stock market depends on the investor sentiment. As the investor sentiment is positive (negative), there is a positive (negative) effect of local bias on the relevant stock return. Besides, local bias positively affect stock trading volume and this effect is greater as the investors are optimistic than as they are pessimistic. Besides, the cross effects of local bias and sentiment on stock market are similar across five different regions with more than 20 list firms each. However, these effects are not significant and consistent in regions with less list firms.
杨晓兰, 沈翰彬, 祝宇. 本地偏好、投资者情绪与股票收益率:来自网络论坛的经验证据[J]. 金融研究, 2016, 438(12): 143-158.
YANG Xiaolan, SHEN Hanbin, ZHU Yu. The Effect of Local Bias in Investor Attention and Investor Sentiment onStock Markets:Evidence from Online Forum. Journal of Financial Research, 2016, 438(12): 143-158.
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