 Daily investor sentiment, order flow imbalance and stock liquidity: evidence from the Chinese stock marketHaiyuan Yin, Xingying Wu and Sophie X Kong International Journal of Finance & Economics, 2022, vol. 27, issue 4, 4816-4836 Abstract: We examine whether and how investor sentiment affects stock liquidity in the Chinese stock market. Utilizing big data mining techniques, we excavate posted texts of a large stock forum and devise daily investor sentiment indicators. While examining the relationship between investor sentiment and stock liquidity, we also test whether order flow imbalance, attributed to investor sentiment, is the channel where investor sentiment delivers its impact on stock liquidity. We find that investor sentiment correlates positively with stock liquidity, and order flow imbalance is proven as an intermediary in this process. This positive correlation is stronger in a bear market than in a bull one. Additionally, liquidity sensitivity is higher for firms with higher book‐to‐market ratio, larger size and lower risk. When the market is less regulated, such as relaxed short‐selling restrictions, liquidity sensitivity also rises. Date: 2022 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4816-4836 Ordering information: This journal article can be ordered from Access Statistics for this article International Journal of Finance & Economics is currently edited by Mark P. Taylor, Keith Cuthbertson and Michael P. Dooley More articles in International Journal of Finance & Economics from John Wiley & Sons, Ltd. |
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