Harnessing the power of real-time forum opinion: Unveiling its impact on stock market dynamics using intraday high-frequency data in China

Zhenpeng Tang, Qiaofeng Lin, Yi Cai, Kaijie Chen and Dinggao Liu

International Review of Financial Analysis, 2024, vol. 93, issue C

Abstract: This research utilizes data mining and text analysis methods to extract investor attention, emotion, and opinion convergence from stock forums. A Restricted Reverse MIDAS model is constructed to explore the dynamic effects of real-time public opinion on intraday high-frequency stock index and trading volume. The empirical results demonstrate a positive impact of forum public opinion on high-frequency stock index and trading volume, with a time attenuation effect observed. Specifically, midday public opinion significantly influences the afternoon high-frequency stock index, exhibiting an initial increase and subsequent decrease in investor sentiment, while investor attention and opinion convergence exhibit a decreasing trend. Nighttime attention and sentiment primarily affect the next morning's high-frequency stock index. Moreover, the real-time emotional impact on the stock market varies across different environments.

Keywords: Real-time public opinion; Data mining; High-frequency stock index; Reverse mixed-frequency analysis (search for similar items in EconPapers)
JEL-codes: G10 G14 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:93:y:2024:i:c:s105752192400142x

DOI: 10.1016/j.irfa.2024.103210

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