Investor sentiment and the Chinese index futures market: Evidence from the internet search

被引：74

作者：

Wang, Xiaolin ^{[1
]}

Ye, Qiang ^{[1
]}

Zhao, Feng ^{[2
]}

Kou, Yi ^{[1
]}

机构：

[1] Harbin Inst Technol, Sch Management, 92 Xidazhi St, Harbin 150001, Heilongjiang, Peoples R China

[2] Univ Texas Dallas, Naveen Jindal Sch Management, Richardson, TX 75083 USA

来源：

JOURNAL OF FUTURES MARKETS | 2018年 / 38卷 / 04期

基金：

中国国家自然科学基金;

关键词：

CSI 300 index futures market; investor sentiment; PC-based search volume; search volume index; RETURN PREDICTABILITY; ATTENTION;

D O I：

10.1002/fut.21893

中图分类号：

F8 [财政、金融];

学科分类号：

020219 [财政学（含：税收学）];

摘要：

We use the search volume index in Baidu to reveal investor sentiment in the Chinese stock index futures market. We find that the abnormal search volume index predicts return reversal in the short term where the effect is mainly caused by the searches of investors who use personal computers rather than mobile devices. We also find that restriction on futures trading changes the relation between the abnormal search volume index and returns significantly. Overall, we provide a new set of results on the effects of investor sentiment on Chinese index futures markets.

引用

页码：468 / 477

页数：10

共 22 条

[1]

Limited attention and the earnings announcement returns of past stock market winners [J].