Li, Jia; Chen, Yun; Shen, Yan; Wang, Jingyi; Huang, Zhuo - 2019
This paper develops textual sentiment measures for China's stock market by extracting the textual tone of 60 million … messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both … volatility. Finally, we show that trading volume will be higher when textual sentiment is unusually high or low and when there …