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Unbearable Lightness of Expectations of the Chinese Investor

A session at Sentiment Analysis in Finance Conference, Singapore, 10 – 11 March, 2016

Eric Tham, iMaibo

The Chinese equity market has seen an increase in the number of retail investors in recent years. In this talk, sentiment analysis of two sources of the domestic online media are considered - news and social blogs media. This is captured through a NLP of the Chinese language by carefully selecting financial idioms and supervised learning. Results show a statistically significant lead-lag relationship between the news media sentiment and the Shanghai Stock index (SSE) that is indicative of momentum strategies. The social media sentiment displays a strong contemporaneous relationship with SSE returns. This contemporaneous relation is modelled through a state space model reflecting the volatile sensitivity of the market returns to social media sentiment.

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Date Thu 10th March 2016

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