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Asian Journal of Information and Communications 9(2)
Letter from editors Special section "Recent Progress in ICT Application in China" General sect....

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Asian Journal of Information and Communications

An empirical study of potential mechanism between social emotions and stock prices in China Jinzhao Wang et al.

  • Page:67-79
  • 2018-05-02

With the development of the Internet, all kinds of social media have become important platforms for financial market investors to share information, exchange ideas and express emotions. So we can make good use of the social media to study the emotions people express. According to the behavioral finance theory, investor sentiment will become a systematic risk that affects the equilibrium price of financial assets. So we want to study the relationship between the stock prices and investor sentiment based on the social media. In this study, we use web crawler technology based on Python to craw comments people post on the website and analyze the data by affective computing based on R. We construct an investor sentiment index based on the affective computing results and do regression with the Shanghai Composite Index to investigate the relationship between them. Considering the special features of the Chinese stock market, we take institutional investors into consideration and build a model of potential mechanism between social emotions and the stock prices in China. The study shows that investor sentiment is not the cause of the change of stock prices. On the contrary, it is the institutional investors’ transaction that influences the stock market which brings about the change of investor sentiment.

Keywords: social media, investor sentiment, stock price, affective computing

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