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 conventional dictionary methods based on customized word...

The COVID-19 pandemic has had a severe negative effect on the global financial markets and economy. This study investigates how two outbreaks of the pandemic in China affected Chinese stock market industries. Conditional autoregressive value at risk (CAViaR) model is applied to calculate the...