Date of Award
2022
Degree Type
Restricted to Claremont Colleges Dissertation
Degree Name
Economics, PhD
Program
School of Social Science, Politics, and Evaluation
Advisor/Supervisor/Committee Chair
Thomas D. Willett
Dissertation or Thesis Committee Member
Levan Efremidze
Dissertation or Thesis Committee Member
Pierangelo De Pace
Terms of Use & License Information
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Rights Information
© 2022 Yan Ai
Keywords
Stock returns, CSI 300 closing price, Stock market, Sentiment Index, News Media, Social Media Sentiment
Subject Categories
Economics
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.
ISBN
9798379898878
Recommended Citation
Ai, Yan. (2022). News Sentiment and Stock Return in the Chinese Stock Market. CGU Theses & Dissertations, 517. https://scholarship.claremont.edu/cgu_etd/517.
