Is it all about noise? Investor sentiment and risk nexus: evidence from China

Ahmed Bouteska, Giovanni Cardillo and Murad Harasheh

Finance Research Letters, 2023, vol. 57, issue C

Abstract: We investigate how online investor sentiment impacts stock risk, measured as Value-at-Risk (VaR). We extrapolate online investor sentiment from information on the stock forum on the 100 constituent stocks of the Shenzhen index using a self-written code to collect daily online postings from 2016 to 2022. Then, we rely on algorithms to classify them. Using quantile regressions and controlling for firm-specific factors and COVID-19, we document that stronger sentiment increases VaR while decreasing VaR on a lagged 7-day horizon. As we move to a longer horizon (20 days), the effect vanishes as more information becomes incorporated into the stock prices.

Keywords: Investor sentiment; Online posting messages; Text mining and classification; Social networks; Value at risk; SZSE 100 index (search for similar items in EconPapers)
JEL-codes: G10 G14 G40 G41 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:57:y:2023:i:c:s154461232300569x

DOI: 10.1016/j.frl.2023.104197

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