Influence Of BBS Investorattention And Investor Sentiment On Stock Market Return

In recent years, great development has taken place on science and technology especially the development of the internet.Investors can express their attention and sentiment through the BBS. A lot of experts issue their point of views on the stock market though the media, such as weibo, blogs.Ordinary investors mainly express their attention and sentiment through traditional BBS. The present study on investor sentiment and investor attention varies, forit is difficult to measure sentiment and attention directly.I measure investor sentiment and investor attention by BBS,then I inspect the relationship between investor attention,investor sentiment with the stock market.Based on the BBS,I construct investor attention proxy index by click quantity.Based on the topics posted on the BBS, I construct investor sentiment proxy index by word frequency statistics. I inspect the influencet of the BBSinvestor attention,investor sentiment on the start up board index returns, trading volume, click quantity, post quantity and investor sentiment though VAR model,then I did granger causality tests, impulse response analysis and variance decomposition analysis.I selected May,20,2013 to January 16,2015 as the sample interval,in total 407 days.The data of daily click quantity,daily post quantity,daily post content in this text are from the forum of Eastmoney net.The data of daily return and daily trading volume is from Resset database.The granger causality tests shows that the return is the granger cause of the click quantity.The click quantity is the granger cause of the trading volume and the trading volume is the granger cause of the click quantity.The changes of the BBS optimistic and pessimistic investor sentiment is the granger cause of the return and the trading volume.The return and the trading volume are the granger cause of the changes of BBS optimistic and pessimistic investor sentiment.The return and the trading volume are the granger cause of the changes of BBS optimistic and pessimistic investor sentiment.The post quantity is the granger cause of the trading volume,and the returnis the granger cause of the post quantity.I find that the click quantity has impact on the trading volume through impulse response analysis.The click quantity has positive impact on the return in the short term,but it reversed in the later.The click quantity has greater impact on the trading volume,and the impact last longer.The impact is always positive.The BBS pessimistic investor sentiment has positive impact on the return,but it does not last long.The BBS pessimistic investor sentiment has negative impact on the return,then it settled later.The BBS investor optimistic sentiment has impact on the trading volume and the pessimistic sentiment hasimpact on the trading volume,then it return to equilibrium position after short time.The post quantity has positive impact on the return and trading volume in the short term.I find that the changes of BBS optimistic and pessimistic investor sentiment have the largest contribution to the return through variance decompositon analysis.The click quantity has the second contribution to the return.The post quantity has smaller contribution to the return.The click quantity hs the largest contribution to the trading volume.The changes of pessimistic investor sentiment and the post volume have the second contribution to the trading volume.The changes of optimistic has smaller contribution to the trading volume.