Investor sentiment and stock returns: Evidence from provincial TV audience rating in China

Yongjie Zhang, Yuzhao Zhang, Dehua Shen and Wei Zhang

Physica A: Statistical Mechanics and its Applications, 2017, vol. 466, issue C, 288-294

Abstract: In this paper, we advocate the provincial TV audience rating as the novel proxy for the provincial investor sentiment (PIS) and investigate its relation with stock returns. The empirical results firstly show that the PIS is positively related to stock returns. Secondly, we provide direct evidence on the existence of home bias in China by observing that the provincial correlation coefficient is significantly larger than the cross-provincial correlation coefficient. Finally, the PIS can explain a large proportion of provincial comovement. To sum up, all these findings support the role of the non-traditional information sources in understanding the “anomalies” in stock market.

Keywords: TV audience rating; Provincial investor sentiment; Home bias; Provincial comovement; Internet information (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:466:y:2017:i:c:p:288-294

DOI: 10.1016/j.physa.2016.09.043

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