Influence of Individual Investor Sentiment on Stock Price Volatility—Based on Simulated Stocked Trading System

Ying Wang and Ximing Cheng

Chapter 7 in Internet Finance and Digital Economy:Advances in Digital Economy and Data Analysis Technology, 2023, pp 75-85 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This paper analyzes the sentiment of texts in the Guba forum by using natural language processing, constructs the individual investor sentiment index, which combines post text, reads, and comments, and categorizes individual investor sentiment. Next, we introduce the stock quote distribution as an intermediary variable and demonstrate individual investor sentiment impact on stock price volatility in Simulated Stock Trading System. The study found that positive individual investor sentiment causes stock prices to rise quickly to near the limit-up price; individual negative investor sentiment causes stock prices to fall; individual neutral investor sentiment causes less volatility in stock prices.

Keywords: Internet Economy; Online Finance; Financial Engineering; Big Data; Blockchain; Supply Chain; E-commerce (search for similar items in EconPapers)
JEL-codes: G2 O33 (search for similar items in EconPapers)
Date: 2023
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