This dissertation studies the effects on stock returns of CSI 300 closing price in Chinese stock market by Sentiment Index of the Social and News Media from the Thomson Reuters MarketPsych Indices. We find that the Sentiment Index is positively related to stock return of CSI 300 closing price. Further we find that the News Media Sentiment has a larger effect on stock return of CSI 300 closing price than the effect of Social Media Sentiment. The markets have asymmetric responses to various types of Sentiment Indices, in which market reacted stronger to negative rather than to positive sentiment. The impact of Sentiment indices on market returns varies from period to period. We also study the association between largest movements in stock market and the Headline News Sentiment and try to test the relationship between News Sentiment and stock returns.
","abstract_html":"<p>This dissertation studies the effects on stock returns of CSI 300 closing price in Chinese stock market by Sentiment Index of the Social and News Media from the Thomson Reuters MarketPsych Indices. We find that the Sentiment Index is positively related to stock return of CSI 300 closing price. Further we find that the News Media Sentiment has a larger effect on stock return of CSI 300 closing price than the effect of Social Media Sentiment. The markets have asymmetric responses to various types of Sentiment Indices, in which market reacted stronger to negative rather than to positive sentiment. The impact of Sentiment indices on market returns varies from period to period. We also study the association between largest movements in stock market and the Headline News Sentiment and try to test the relationship between News Sentiment and stock returns.</p>","abstract_has_math":false,"creators":["Ai, Yan"],"institution":null,"degree_name":"Economics, PhD","degree_level":"Restricted to Claremont Colleges Dissertation","degree_discipline":"School of Social Science, Politics, and Evaluation","degree_department":null,"school":null,"contributors":["Levan Efremidze","Pierangelo De Pace"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2022,"date_issued":"2022-01-01T08:00:00Z","date_published":"2022-01-01T08:00:00Z","updated_at":"2026-07-24T01:40:15Z","subjects":["Stock returns","CSI 300 closing price","Stock market","Sentiment Index","News Media","Social Media Sentiment","Economics"],"languages":[],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"https://scholarship.claremont.edu/cgu_etd/517","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Levan Efremidze","Pierangelo De Pace"]},{"key":"dc:creator","label":"Author","values":["Ai, Yan"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.available","label":"Dc Date Available","values":["2023-10-20T07:00:00Z"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["School of Social Science, Politics, and Evaluation"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Restricted to Claremont Colleges Dissertation"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Economics, PhD"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Stock returns","CSI 300 closing price","Stock market","Sentiment Index","News Media","Social Media Sentiment","Economics"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://scholarship.claremont.edu/cgu_etd/517"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This dissertation studies the effects on stock returns of CSI 300 closing price in Chinese stock market by Sentiment Index of the Social and News Media from the Thomson Reuters MarketPsych Indices. We find that the Sentiment Index is positively related to stock return of CSI 300 closing price. Further we find that the News Media Sentiment has a larger effect on stock return of CSI 300 closing price than the effect of Social Media Sentiment. The markets have asymmetric responses to various types of Sentiment Indices, in which market reacted stronger to negative rather than to positive sentiment. The impact of Sentiment indices on market returns varies from period to period. We also study the association between largest movements in stock market and the Headline News Sentiment and try to test the relationship between News Sentiment and stock returns.
"]},{"key":"dc:title","label":"Title","values":["News Sentiment and Stock Return in the Chinese Stock Market"]}]}],"canonical_facts":{"dc:contributor":["Levan Efremidze","Pierangelo De Pace"],"dc:creator":["Ai, Yan"],"dc:date.available":["2023-10-20T07:00:00Z"],"dc:description.abstract":["This dissertation studies the effects on stock returns of CSI 300 closing price in Chinese stock market by Sentiment Index of the Social and News Media from the Thomson Reuters MarketPsych Indices. We find that the Sentiment Index is positively related to stock return of CSI 300 closing price. Further we find that the News Media Sentiment has a larger effect on stock return of CSI 300 closing price than the effect of Social Media Sentiment. The markets have asymmetric responses to various types of Sentiment Indices, in which market reacted stronger to negative rather than to positive sentiment. The impact of Sentiment indices on market returns varies from period to period. We also study the association between largest movements in stock market and the Headline News Sentiment and try to test the relationship between News Sentiment and stock returns.
"],"dc:identifier":["https://scholarship.claremont.edu/cgu_etd/517"],"dc:subject":["Stock returns","CSI 300 closing price","Stock market","Sentiment Index","News Media","Social Media Sentiment","Economics"],"dc:title":["News Sentiment and Stock Return in the Chinese Stock Market"],"thesis:degree_discipline":["School of Social Science, Politics, and Evaluation"],"thesis:degree_level":["Restricted to Claremont Colleges Dissertation"],"thesis:degree_name":["Economics, PhD"]},"updated_at":"2026-07-24T01:40:15Z"}