Heterogeneous Impacts of Policy Sentiment with Different Themes on Real Estate Market: Evidence from China

Diandian Ma, Benfu Lv, Xuerong Li (), Xiuting Li and Shuqin Liu
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Diandian Ma: School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China
Benfu Lv: School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China
Xuerong Li: Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China
Xiuting Li: School of Economics and Management, University of Chinese Academy of Sciences, Beijing 100190, China
Shuqin Liu: School of Management, Minzu University of China, Beijing 100081, China

Sustainability, 2023, vol. 15, issue 2, 1-21

Abstract: This paper empirically investigates the heterogeneous impacts of the media sentiment about policies with different themes on the real estate market in China. Based on the policy texts collected from both official and unofficial sources, we construct sentiment indices to capture the sentiment about policies with different themes, including real estate policies, fiscal policies, monetary policies, land policies, healthcare policies, household registration policies, and education policies, using text mining methods. Mediation models and GARCH models are then established to examine the impact of these sentiment indices on the real estate market. The E-GARCH model is established to examine the asymmetric effect of positive and negative sentiment on real estate market. The results show the following: (1) The real estate market in China is more affected by the policy sentiment on official media compared with the unofficial ones. (2) Policy sentiment affects the real estate price through the mediating variables of interest rate, real estate construction area, and real estate sales. (3) The impacts of sentiment with different themes on the volatility of the real estate market are heterogeneous. (4) The impacts of policy sentiment on official media are more pronounced in a tight government-policy environment than those in a loose one. (5) The effect of negative unofficial media policies sentiment on real estate price is bigger than the positive unofficial media policies sentiment.

Keywords: real estate market; heterogeneous impacts; policy evaluation; sentimental analysis; GARCH models (search for similar items in EconPapers)
JEL-codes: O13 Q Q0 Q2 Q3 Q5 Q56 (search for similar items in EconPapers)
Date: 2023
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