Claremont Graduate University
News Sentiment and Stock Return in the Chinese Stock Market
Abstract
dc:description.abstract<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>
Degree
thesis:*- Name thesis:degree_name
- Economics, PhD
- Level thesis:degree_level
- Restricted to Claremont Colleges Dissertation
- Discipline thesis:degree_discipline
- School of Social Science, Politics, and Evaluation
- Year dc:date.available
- 2022
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Ai, Yan
- Contributors dc:contributor
-
- Levan Efremidze
- Pierangelo De Pace
Subjects
dc:subject × 7Identifiers
dc:identifier.*- Repository record dc:identifier
- https://scholarship.claremont.edu/cgu_etd/517
- OAI identifier oai:identifier
- oai:scholarship.claremont.edu:cgu_etd-1539