Details about Dehua Shen

Access statistics for papers by Dehua Shen.

Last updated 2023-08-07. Update your information in the RePEc Author Service.

Short-id: psh718

Working Papers

2024

1. Herding towards carbon neutrality: The role of investor attention
   Post-Print, HAL View citations (1)
   See also Journal Article Herding towards carbon neutrality: The role of investor attention, International Review of Financial Analysis, Elsevier (2024) View citations (1) (2024)

2023

2. Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach
   Post-Print, HAL View citations (2)
   See also Journal Article Dissecting the idiosyncratic volatility puzzle: A fundamental analysis approach, Research in International Business and Finance, Elsevier (2023) View citations (2) (2023)

2020

3. A Socio-Finance Model: The Case of Bitcoin
   Post-Print, HAL
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2020)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2020)

2016

4. The impact of information-based familiarity on the stock market
   Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain)

2015

5. R2 and Idiosyncratic Volatility: Which Captures the Firm-specific Return Variation?
   Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain)
   See also Journal Article R2 and idiosyncratic volatility: Which captures the firm-specific return variation?, Economic Modelling, Elsevier (2016) View citations (24) (2016)

Journal Articles

2024

1. Bitcoin market reactions to large price swings of international stock markets
   International Review of Economics & Finance, 2024, 90, (C), 72-88 View citations (4)
2. Do online message boards convey cryptocurrency-specific information?
   International Review of Financial Analysis, 2024, 91, (C) View citations (4)
3. Firm-specific new media sentiment and price synchronicity
   Research in International Business and Finance, 2024, 69, (C)
4. Herding towards carbon neutrality: The role of investor attention
   International Review of Financial Analysis, 2024, 91, (C) View citations (1)
   See also Working Paper Herding towards carbon neutrality: The role of investor attention, Post-Print (2024) View citations (1) (2024)
5. Internet stock message boards and the price–volume relationship: Registered users vs non-registered users
   Finance Research Letters, 2024, 61, (C) View citations (1)
6. Investor attention and GameFi returns: A transfer entropy analysis
   Finance Research Letters, 2024, 61, (C) View citations (4)
7. Media opinion divergence and stock returns: Evidence from China
   International Review of Financial Analysis, 2024, 93, (C) View citations (1)
8. Not all the news fitting to reprint: Evidence from price-volume relationship
   Finance Research Letters, 2024, 62, (PA) View citations (1)
9. Return volatility and trading volume of GameFi
   Journal of Behavioral and Experimental Finance, 2024, 43, (C)
10. Spillover effects according to classification of cryptocurrency
    Finance Research Letters, 2024, 65, (C)

2023

11. Attention allocation and cryptocurrency return co-movement: Evidence from the stock market
    International Review of Economics & Finance, 2023, 88, (C), 1173-1185 View citations (4)
12. Dissecting the idiosyncratic volatility puzzle: A fundamental analysis approach
    Research in International Business and Finance, 2023, 66, (C) View citations (2)
    See also Working Paper Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach, Post-Print (2023) View citations (2) (2023)
13. Information demand density matters: Evidence from the post-earnings announcement drift
    International Review of Financial Analysis, 2023, 86, (C) View citations (5)
14. Information shocks and investor underreaction: Evidence from the Bitcoin market
    Finance Research Letters, 2023, 56, (C) View citations (5)
15. Market reaction to climate risk report disclosures: The roles of investor attention and sentiment
    Finance Research Letters, 2023, 58, (PA) View citations (5)
16. The road less travelled: GameFi as a hedge or a safe haven for international indices
    Finance Research Letters, 2023, 57, (C) View citations (4)
17. When stock price crash risk meets fundamentals
    Research in International Business and Finance, 2023, 65, (C) View citations (2)

2022

18. Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective
    Finance Research Letters, 2022, 49, (C) View citations (10)
19. Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology
    Finance Research Letters, 2022, 50, (C) View citations (12)
20. ESG rating and stock price crash risk: Evidence from China
    Finance Research Letters, 2022, 46, (PB) View citations (62)
21. Extreme sentiment and herding: Evidence from the cryptocurrency market
    Research in International Business and Finance, 2022, 63, (C) View citations (14)
22. Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test
    Asia-Pacific Financial Markets, 2022, 29, (1), 123-137
23. Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction
    Annals of Operations Research, 2022, 318, (1), 103-128 View citations (1)
24. Momentum or reversal: Which is the appropriate third factor for cryptocurrencies?
    Finance Research Letters, 2022, 45, (C) View citations (21)
25. Tail risks, firm characteristics, and stock returns
    Pacific-Basin Finance Journal, 2022, 75, (C) View citations (4)

2021

26. Can the Baidu Index predict realized volatility in the Chinese stock market?
    Financial Innovation, 2021, 7, (1), 1-31 View citations (15)
27. Comparing search-engine and social-media attentions in finance research: Evidence from cryptocurrencies
    International Review of Economics & Finance, 2021, 75, (C), 723-746 View citations (35)
28. Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing
    The Quarterly Review of Economics and Finance, 2021, 81, (C), 113-122 View citations (11)
29. Investor attention shocks and stock co-movement: Substitution or reinforcement?
    International Review of Financial Analysis, 2021, 73, (C) View citations (24)
30. Investor reactions to local and overseas news: Evidence from A‐ and H‐shares in China
    International Journal of Finance & Economics, 2021, 26, (3), 4190-4225
31. Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market
    Asia-Pacific Financial Markets, 2021, 28, (2), 305-318 View citations (6)
32. Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis
    Asia-Pacific Financial Markets, 2021, 28, (3), 397-427 View citations (1)
33. The role of investor attention in predicting stock prices: The long short-term memory networks perspective
    Finance Research Letters, 2021, 38, (C) View citations (18)
34. US partisan conflict and high-yield exchange rates
    Finance Research Letters, 2021, 40, (C) View citations (10)

2020

35. A three-factor pricing model for cryptocurrencies
    Finance Research Letters, 2020, 34, (C) View citations (37)
36. Attention allocation and international stock return comovement: Evidence from the Bitcoin market
    Research in International Business and Finance, 2020, 54, (C) View citations (13)
37. Borrower platform choice: The influencing factors on herding
    International Journal of Financial Engineering (IJFE), 2020, 07, (01), 1-12
38. Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence
    Journal of International Financial Markets, Institutions and Money, 2020, 64, (C) View citations (10)
39. Does intraday time-series momentum exist in Chinese stock index futures market?
    Finance Research Letters, 2020, 35, (C) View citations (6)
40. Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks
    European Financial Management, 2020, 26, (5), 1294-1323 View citations (36)
41. How does economic policy uncertainty affect the bitcoin market?
    Research in International Business and Finance, 2020, 53, (C) View citations (46)
42. Investor Sentiment and the Return Rate of P2P Lending Platform
    Asia-Pacific Financial Markets, 2020, 27, (1), 97-113 View citations (2)
43. Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market
    Asia-Pacific Financial Markets, 2020, 27, (3), 439-452 View citations (2)
44. Special features on behavioral issues in cryptocurrencies
    Evolutionary and Institutional Economics Review, 2020, 17, (2), 413-414
45. Stock mispricing, hard-to-value stocks and the influence of internet stock message boards
    International Review of Financial Analysis, 2020, 72, (C) View citations (7)
46. Stylized facts of the carbon emission market in China
    Physica A: Statistical Mechanics and its Applications, 2020, 555, (C) View citations (5)
47. The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market?
    Asia-Pacific Financial Markets, 2020, 27, (2), 213-230 View citations (1)

2019

48. An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China
    Finance Research Letters, 2019, 31, (C) View citations (7)
49. Do analyst recommendations matter for rival companies?
    International Review of Financial Analysis, 2019, 65, (C) View citations (4)
50. Does twitter predict Bitcoin?
    Economics Letters, 2019, 174, (C), 118-122 View citations (159)
51. Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective
    International Journal of Information Technology & Decision Making (IJITDM), 2019, 18, (02), 695-715
52. Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective
    Finance Research Letters, 2019, 31, (C), 1-18 View citations (83)
53. Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis
    Journal of Economic Interaction and Coordination, 2019, 14, (2), 377-418 View citations (11)

2018

54. Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis
    Economic Modelling, 2018, 69, (C), 127-133 View citations (30)
55. Do Chinese internet stock message boards convey firm-specific information?
    Pacific-Basin Finance Journal, 2018, 49, (C), 1-14 View citations (43)
56. Investor attention and performance of IPO firms: Evidence from online searches
    Physica A: Statistical Mechanics and its Applications, 2018, 508, (C), 342-348 View citations (8)
57. Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market
    Complexity, 2018, 2018, 1-20 View citations (10)
58. Quantifying the cross-correlations between online searches and Bitcoin market
    Physica A: Statistical Mechanics and its Applications, 2018, 509, (C), 657-672 View citations (25)
59. Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns
    Physica A: Statistical Mechanics and its Applications, 2018, 490, (C), 928-934 View citations (23)
60. Some stylized facts of the cryptocurrency market
    Applied Economics, 2018, 50, (55), 5950-5965 View citations (70)
61. The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns
    Complexity, 2018, 2018, 1-11 View citations (19)
62. The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter
    Physica A: Statistical Mechanics and its Applications, 2018, 508, (C), 67-75 View citations (15)
63. The dynamic cross-correlations between foreign news, local news and stock returns
    Physica A: Statistical Mechanics and its Applications, 2018, 509, (C), 861-872 View citations (9)
64. The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average
    Physica A: Statistical Mechanics and its Applications, 2018, 510, (C), 658-670 View citations (65)
65. The time-varying correlation between policy uncertainty and stock returns: Evidence from China
    Physica A: Statistical Mechanics and its Applications, 2018, 499, (C), 413-419 View citations (38)
66. Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests
    Journal of Behavioral and Experimental Finance, 2018, 18, (C), 50-53 View citations (26)
67. Weibo Attention and Stock Market Performance: Some Empirical Evidence
    Complexity, 2018, 2018, 1-8 View citations (2)

2017

68. Baidu index and predictability of Chinese stock returns
    Financial Innovation, 2017, 3, (1), 1-8 View citations (24)
69. Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks
    Finance Research Letters, 2017, 23, (C), 210-216 View citations (25)
70. Daily happiness and stock returns: The case of Chinese company listed in the United States
    Economic Modelling, 2017, 64, (C), 496-501 View citations (43)
71. Does microblogging convey firm-specific information? Evidence from China
    Physica A: Statistical Mechanics and its Applications, 2017, 482, (C), 621-626 View citations (8)
72. Investor sentiment and stock returns: Evidence from provincial TV audience rating in China
    Physica A: Statistical Mechanics and its Applications, 2017, 466, (C), 288-294 View citations (23)
73. Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective
    Physica A: Statistical Mechanics and its Applications, 2017, 467, (C), 345-355 View citations (7)
74. The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market
    Physica A: Statistical Mechanics and its Applications, 2017, 486, (C), 535-541 View citations (9)

2016

75. Daily happiness and stock returns: Some international evidence
    Physica A: Statistical Mechanics and its Applications, 2016, 460, (C), 201-209 View citations (52)
76. Has microblogging changed stock market behavior? Evidence from China
    Physica A: Statistical Mechanics and its Applications, 2016, 452, (C), 151-156 View citations (27)
77. Market reaction to internet news: Information diffusion and price pressure
    Economic Modelling, 2016, 56, (C), 43-49 View citations (36)
78. Network interdependency between social media and stock trading activities: Evidence from China
    Physica A: Statistical Mechanics and its Applications, 2016, 451, (C), 305-312 View citations (4)
79. R2 and idiosyncratic volatility: Which captures the firm-specific return variation?
    Economic Modelling, 2016, 55, (C), 298-304 View citations (24)
    See also Working Paper R2 and Idiosyncratic Volatility: Which Captures the Firm-specific Return Variation?, Working Papers (2015) (2015)
80. Trading and non-trading period Internet information flow and intraday return volatility
    Physica A: Statistical Mechanics and its Applications, 2016, 451, (C), 519-524 View citations (28)

2015

81. Information and Bargaining Power: Evidence from SME Lending in China
    International Journal of Information Technology & Decision Making (IJITDM), 2015, 14, (04), 901-913

2014

82. Internet information arrival and volatility of SME PRICE INDEX
    Physica A: Statistical Mechanics and its Applications, 2014, 399, (C), 70-74 View citations (37)

2013

83. Open source information, investor attention, and asset pricing
    Economic Modelling, 2013, 33, (C), 613-619 View citations (80)