Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry

Ziyang Ji, Victor Chang, Hao Lan, Ching-Hsien Robert Hsu and Raul Valverde
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Ziyang Ji: International Business School Suzhou, Xi’an Jiaotong-Liverpool University, Suzhou 215123, China
Victor Chang: School of Computing, Engineering and Digital Technologies, Teesside University, Middlesbrough TS1 3BX, UK
Ching-Hsien Robert Hsu: Department of Computer Science and Information Engineering, Asia University, Taichung 400-439, Taiwan
Raul Valverde: John Molson School of Business, Concordia University, Montreal, QC G1X 3X4, Canada

Sustainability, 2020, vol. 12, issue 12, 1-22

Abstract: As one of the most significant components of financial technology (FinTech), blockchain technology arouses the interests of numerous investors in China, and the number of companies engaged in this field rises rapidly. The emotion of investors has an effect on stock returns, which is a hot topic in behavioral finance. Blockchain is an essential part of FinTech, and with the fast development of this technology, investors’ sentiment varies as well. The online information that directly reflects investors’ mood could be utilized for mining and quantifying to construct a sentiment index. For a better understanding of how well some factors adequately explain the return of stocks related to blockchain companies in the Chinese stock market, the Fama-French three-factor model (FFTFM) will be introduced in this paper. Furthermore, sentiment could be a new independent variable to enhance the explanatory power of the FFTFM. A comparison between those two models reveals that the sentiment factor could raise the explanatory power. The results also indicate that the Chinses blockchain industry does not own the size effect and book-to-market effect.

Keywords: financial technology (FinTech); blockchain; Fama-French three-factor model; sentiment index (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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