• ISSN: 2301-3567 (Print), 2972-3981 (Online)
    • Abbreviated Title: J. Econ. Bus. Manag.
    • Frequency: Quarterly
    • DOI: 10.18178/JOEBM
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HOME > Archive > 2024 > Volume 12 Number 3 (2024) >
JOEBM 2024 Vol.12(3): 278-284
DOI: 10.18178/joebm.2024.12.3.809

Does Individual Investor Sentiment Have an Impact on Stock Returns?—Empirical Research Based on Stock Comments for CSI 300 Index

Zhekun Xiao
Quantitative Finance, HSBC Business School, Peking University, Shenzhen, China
Email: 2201212426@stu.pku.edu.cn (Z.K.X.)

Manuscript received April 8, 2024; revised April 30, 2024; accepted May 10, 2024; published August 9, 2024.

Abstract—This study investigates the impact of individual investor sentiment on stock returns in China’s growing stock market. By utilizing sentiment metric data from Cathay Pacific stock forum views, this paper validates the relationship between investor sentiment and stock returns. In terms of methodology, this study discards traditional control variables and adopts an innovative approach combining historical investor sentiment to fit stock returns through a higher-order autoregressive model. In the empirical analysis, panel data of 144 stocks among the constituents of CSI 300 index from January 16, 2019 to December 1, 2021 are used. The homoskedasticity and heteroskedasticity problems, as well as the current relationship and endogeneity problems in the panel data analysis are solved by employing the Feasible Generalized Least Square and Least Squares Dummy Variable techniques. The results show that the long index can effectively serve as a proxy variable for individual investor sentiment in the Chinese stock market at the individual stock level. In addition, investor sentiment at the individual stock level has a significant impact on stock returns: current investor sentiment greatly enhances contemporaneous stock returns, while the lagged term of sentiment (delayed by one to three days) has a significant negative impact on stock returns, which is an important finding for better protecting the rights and interests of individual investors and maintaining the stability of the financial market.
 
Keywords—Least Squares Dummy Variable (LSDV), Feasible Generalized Least Square (FGLS), individual investor sentiment, stock return

Cite: Zhekun Xiao, "Does Individual Investor Sentiment Have an Impact on Stock Returns?—Empirical Research Based on Stock Comments for CSI 300 Index," Journal of Economics, Business and Management, vol. 12, no. 3, pp. 278-284, 2024.

Copyright © 2024 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

 

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