Investor sentiments and stock marketsduring the COVID-19 pandemic

This study examines the relationship between positive and negative investor sentiments and stock market returns and volatility in Group of 20 countries using variousmethods, including panel regression with fixed effects, panel quantile regressions, apanel vector autoregression (PVAR) model, and country-specific regressions. We proxyfor negative and positive investor sentiments using the Google Search Volume Indexfor terms related to the coronavirus disease (COVID-19) and COVID-19 vaccine, respectively. Using weekly data from March 2020 to May 2021, we document significantrelationships between positive and negative investor sentiments and stock marketreturns and volatility. Specifically, an increase in positive investor sentiment leads toan increase in stock returns while negative investor sentiment decreases stock returnsat lower quantiles. The effect of investor sentiment on volatility is consistent acrossthe distribution: negative sentiment increases volatility, whereas positive sentimentreduces volatility. These results are robust as they are corroborated by Granger causalitytests and a PVAR model. The findings may have portfolio implications as they indicatethat proxies for positive and negative investor sentiments seem to be good predictorsof stock returns and volatility during the pandemic.

Investor Sentiment and Cross-Sectional Return after Share Issuance:Evidence from Seasonal Equity Offering in China Market

Our research on private placement of equity on China capital market reveals that firms prefer to equity financing when their stock price is overvalued and investor sentiment is high,following the market timing hypothesis.However,after private issuance,we document a significant positive abnormal return within three years.We believe firms choose to polish their financial statement before the exit of institutional investors and controlling shareholders.Through manipulation of discretional accruals,firms improve the profitability and market valuation,and help institutional investors and controlling shareholders obtain the abnormal return after private placement of equity.Nevertheless,such manipulation cannot be sustained and will do harm to other investors in the long-term.

An empirical examination of investor sentiment and stock market volatility: evidence from India

Understanding the irrational sentiments of the market participants is necessary for making good investment decisions.Despite the recent academic effort to examine the role of investors’sentiments in market dynamics,there is a lack of consensus in delineating the structural aspect of market sentiments.This research is an attempt to address this gap.The study explores the role of irrational investors’sentiments in determining stock market volatility.By employing monthly data on market-related implicit indices,we constructed an irrational sentiment index using principal component analysis.This sentiment index was modelled in the GARCH and Granger causality framework to analyse its contribution to volatility.The results showed that irrational sentiment significantly causes excess market volatility.Moreover,the study indicates that the asymmetrical aspects of an inefficient market contribute to excess volatility and returns.The findings are crucial for retail investors as well as portfolio managers seeking to make an optimum portfolio to maximise profits.

A Study on Interaction between Investor Sentiments, China＇ s Monetary Policy and Stock Market

This paper builds the structure of the vector autoregression( SVAR) model short-term constraints and studies the interactive mechanism of investor sentiment,monetary policy and stock market from 2008 to 2016. The result finds that investor sentiment, currency liquidity and stock market gains a significant asymmetric effect. First,the interaction effects of investor sentiment and stock market are positive feedback mechanism, and investor sentiment significantly affects the stock market in the short term. Furthermore,monetary policy and stock market has a positive role in promoting each other. Finally, investor sentiment shows negative feedback mechanism of monetary policy.

企业ESG与资本市场表现——来自股票流动性的证据

在经济社会发展绿色化、低碳化态势下,ESG理念在资本市场中的地位日益凸显。文章基于2015—2021年我国A股上市公司数据,研究ESG表现对企业股票流动性的影响。研究发现,ESG表现显著提升了企业股票流动性,该效应在国有企业、大规模企业以及市场化程度较高的地区企业中更显著。机制分析表明,企业ESG有利于提升投资者情绪和信息透明度,进而促进股票流动性。进一步研究发现,企业良好ESG表现所带来的股票流动性显著提升了企业价值和企业创新。发掘企业ESG在金融市场的作用效果,为活跃资本市场提供新的经验证据。

ESG评级分歧与企业经营风险

随着ESG意识的提高和可持续发展的重要性日益突显,ESG评级已成为学术界和实务界讨论的重点问题,但目前中国ESG评级标准并不统一,不同评级机构给出的评分有较大分歧,这是否会对企业经营风险产生影响?基于此,本文以2015—2022年中国A股上市公司为样本,使用华证、万德、富时罗素、商道融绿、盟浪、彭博6家评级机构的评级结果构建ESG评级分歧指标,实证检验了ESG评级分歧对企业经营风险的影响。结果显示,ESG评级分歧显著提高了企业经营风险,这一结论在经过一系列内生性稳健性检验后依然成立。机制检验发现,ESG评级分歧通过加剧信息不对称以及抑制投资者情绪进而提高企业经营风险。异质性分析表明,ESG评级分歧对企业经营风险的提升作用在非国有企业、信息质量较差的企业和高市场化企业更强。进一步研究发现,相比于ESG评级机构间分析差异,被评级企业本身ESG信息披露不规范是ESG评级分歧加剧企业经营风险的主要原因。研究结论为监管机构规范ESG评级标准以引导企业规范披露,推动中国ESG评级体系建设提供了重要借鉴。

Overreaction and Availability Bias: Analysis of Real Estate Sector’s Stock Prices and Investors’ Reaction during Demonetisation in India

The stock market is full of events that affect the sensitivity reaction of investors at a large scale. Individual investor sentiment is just like his/her personal feeling depending upon their nature, risk appetite, and market scenario. This research study investigates the investors’ reaction in the stock market for the real estate segment during the massive market crisis in developing countries. Demonetisation of 2016 in India has been taken with the purpose of implementing a pilot study to analyse the overreaction and availability bias. The primary focus was on analysing how the investors react on the information of demonetisation and their pattern of investment in the stock market with a special emphasis on real estate sector where the effect of the event had dramatically changed the stock prices. Therefore, a pre- and post- analysis had been conducted to gauge the prices, sensitivity, and reaction of investors in the stock market. The reaction of the citizens after these events was found to be drastically affected. Five real estate companies had been focused upon in this study to examine the impact of investors’ overreaction owing to the demonetisation and their investment pattern for stocks during pre- and post- demonetisation period at that timeframe. The analysis was done on a shorter period of time so that the impact of overreaction and availability bias can be critically analysed. The paper thus exhibits how investor sentiments and reaction for stock preference had changed over time through statistical study.

ESG评级分歧对投资者情绪的影响研究

ESG评级分歧会引发一系列后果,但ESG评级分歧对投资者情绪的影响还缺乏深入的研究。以2015—2022年A股上市公司为研究对象,采用华证、彭博、富时罗素、盟浪、商道融绿、万得六家评级机构的ESG评级数据为样本,实证研究了企业ESG评级分歧对投资者情绪的影响。结果表明,企业ESG评级分歧程度加大会显著引起投资者情绪波动,在经过一系列稳健性检验后结论依然成立。机制检验表明,ESG评级分歧对投资者情绪的影响是通过增加投资者关注这一路径实现的。异质性检验表明,ESG评级分歧对投资者情绪的影响在由非四大会计师事务所审计企业、按照全球报告倡议组织标准披露ESG报告企业、处于成长期企业以及轻污染企业中显著增加。进一步检验表明,ESG评级分歧的增加会导致投资者负面情绪的增长。

ESG评级如何影响企业投融资期限错配——基于ESG不确定性的视角

本文基于不同评级机构对同一企业ESG评级产生的差异,形成ESG不确定性视角,研究ESG评级对企业投融资期限错配的影响。研究发现,ESG不确定性加剧了企业获取长期资金的难度,形成了投融资期限错配,主要影响机制为长期债务融资水平和投资者情绪积极性降低。提高企业信息透明度、加强企业资源获取能力、强化对企业的外部监督力度能有效缓解ESG不确定性对企业投融资期限错配的影响。进一步,ESG不确定性对企业投融资期限错配的影响在非国有企业、战略进攻型企业、经营风险较高的企业、竞争程度较高的行业和非重污染企业中更为显著。经济后果检验表明,ESG不确定性加剧的投融资期限错配会提高企业破产风险,不利于企业高质量发展。本研究拓展了ESG评级的相关研究,对债权人和投资者正确认识和对待ESG评级、促进企业提高投融资期限配置有效性具有启示意义。

Can Twitter Sentiment Gives the Weather of the Financial Markets?

Finance 3.0 is still in its infancy.Yet big data represents an unprecedented opportunity for finance.The massive increase in the volume of data generated by individuals every day on the Internet offers researchers the opportunity to approach the question of financial market predictability from a new perspective.In this article,we study the relationship between a well-known Twitter micro-blogging platform and the Tunisian financial market.In particular,we consider,over a 12-month period,Twitter volume and sentiment across the 22 stock companies that make up the Tunindex index.We find a relatively weak Pearson correlation and Granger causality between the corresponding time series over the entire period.

China's New Tax System Benefits Foreign Investors

To meet the requirements of a socialist market economy and overcome the inherent sharp contradictions of the former taxation system, China began reforming the structure of its tax system this year. The structural reform has been carried out under theguidelines of unifying the tax law, creating equal treatment, simplifying the tax system, building up a rational tax revenue sharing system, redressing distribution relationships, standardizing the mode

Architectures in the Shadow of ＂Investors＇ Urban Planning＂--Case Study of Avala Hotel in Budva, Montenegro

Avala Hotel in Budva, Montenegro, has undergone three reconstructions. Each of them led to significant spatial changes. The first hotel established the foundation of urbanization process in Budva, the building was too high compared to the old town walls in the surrounding and thus not well integrated. The second reconstruction was the only successful achievement. At this time, in the first detailed urban plan including hotel and its surrounding area, the conclusion was that it represents ＂high-quality, seaside-favorable ambience＂ that should not be harmed by further building expansion. The last, illegal reconstruction in 2006 resulted in over enlarged new building disrespectful of the surrounding and the previous design. Similarly, the 2008 new detailed urban plan was the creation of ＂investors＇ urban planning＂. Entirely driven by profit, it arranges building reconstructions with multiple enlargements. This study tends to point out contextual impacts of the three hotels on the surrounding area, with special focus on the last reconstruction and ＂investors＇ urban planning＂ phenomena. The applied research method is comparative, chronological analysis of the three hotels. The aim of this research paper is to inspire initiatives that will help overcoming declining and harmful synergy of architecture and new socio-economic phenomena. It is the only way leading to the significant architectural goal： creating refined, harmonized and high quality ambience.

Why Do Foreign Investors Favor China's Market

China has led developing countries in direct foreign investment for eight consecutive years, with an inflow of more than US$40 billion of international capital annually. China has become a real hotspot of investment favored by worldwide investors. What is the role foreign investment has played in China’s economic development over the past years? According to an analysis report recently released by the National Information Center, during the two decades between 1980-99, of the 9.7-percent average annual growth rate of the GDP, 2.7 percentage points were contributed directly or indirectly by foreign capital utilization. 1. How Does Foreign Capital Stimulate China’s Economic Growth?

基于BERT-BILSTM模型的投资者情绪对股价短期预测

行为金融学认为股票价格受到投资者情绪的影响。本研究旨在探讨投资者情绪对股票短期收益的影响及其预测作用。通过网络爬虫技术采集东方财富股吧中沪深300指数成分股的金融文本数据,并根据文本内容是否包含对未来几个交易日股票收益的预期,将近1万条样本数据分为“看涨”“看跌”和“中性”三种情感。基于这些分类数据,训练了BERT-BILSTM模型以实现海量文本的自动分类。这是一种将BERT和BILSTM结合的模型,通过预训练和深度学习的方式,提高了情感分类的准确性和效率。随后,本文构建了投资者情绪和情绪分歧度指标,用于分析投资者情绪对股票收益率和交易量的预测作用。实证结果显示,投资者情绪对当日股票收益率有显著正向影响,并对未来1~5个交易日的股票收益率有明显的预测作用;情绪分歧度对当日股票交易量有显著正向影响,且能预测未来1~3个交易日的股票交易量。本文还进行了稳健性检验,更改了投资者情绪指标的计算方式,在不改变控制变量的前提下,稳健性检验的结果依然显示情绪指标能够显著影响当日及未来数日的股票收益率和交易量,只是系数的显著性有所降低。这进一步验证了本文模型的可靠性和适用性。在本文的实证分析中,还发现股吧发帖量对股票收益率显著负相关,这可能反映了市场中高讨论热度并未转化为正向的市场表现,反而可能引发市场的过度反应。综合上述发现,本文的实证结果支持假设H1和H2的推断,即投资者情绪和情绪分歧度对股票市场有显著影响。

ESG评级分歧与管理层短视

ESG评级分歧在资本市场上开始受到越来越多的关注,然而该分歧不仅困扰着投资者决策,还会影响企业管理层的行为决策。以2015-2021年沪深A股上市公司为样本,检验了ESG评级分歧对管理层短视的影响及作用机制。研究结果发现,ESG评级分歧会显著加剧管理层短视行为,且增加代理成本、提高投资者情绪不稳定性和管理层声誉风险是产生该加剧效应的重要传导路径。异质性检验发现,在重污染行业、内部控制质量差以及融资约束程度高的情境下,ESG评级分歧对管理层短视的加剧效应更显著。对企业价值的作用效果分析发现,ESG评级分歧对管理层短视的负向影响会降低企业长期价值,但随着时间推移,该负向影响会减弱。本研究结论为规范ESG评级标准体系提供了经验证据,同时也丰富了管理层短视驱动因素的相关文献。

投资者情绪、市场流动性与股市泡沫——基于TVP-SV-SVAR模型的分析

基于2006年1月～2015年12月中国宏观经济和股市的月度数据，采用协整理论和误差修正模型度量股市泡沫，运用主成分分析法构建了投资者情绪综合指数，并结合TVP-SV-SVAR模型分析了投资者情绪、市场流动性对股市泡沫的动态影响效应。研究表明，投资者情绪、市场流动性与股市泡沫之间的关系呈现显著的时变性；市场流动性在牛市中受投资者乐观情绪影响较熊市中受投资者悲观情绪的影响更显著；投资者情绪对股市泡沫的影响不确定，但在股市上行时期影响持续期较长；市场流动性对股市泡沫有正向影响且短期效应明显，流动性紧缩容易刺激泡沫破裂。

我国股票市场投资者情绪SENT指数的构建——基于上证A股公司的面板数据

在我国股票市场一片繁荣,投资者参与市场热情极度高涨,IPO企业数量不断增加的背景下,笔者以投资者情绪指数作为研究主题,以上海证券交易所A股公司的面板数据为基础,编制了投资者情绪指数并分析了其与上海A股市场指数之间的关系。笔者选取2013年1月1日—2014年6月1日间上证A股月度IPO首日平均收益(RIPO)、IPO总量(NIPO)、总市值加权的换手率(TURN)及上证A股每月新增开户数(NIA)作为衡量投资者情绪的代理变量,剔除了年消费价格指数和宏观经济景气指数这两个宏观经济基本面因素的影响,构建了上证A股市场投资者情绪的SENT指数。通过一致性和优越性分析表明SENT情绪指数对上证A股市场的投资者情绪具有较好的解释能力,并且通过进一步的分析验证了该指数与上证A股月度指数之间存在双向格兰杰因果关系,说明投资者情绪与股票市场指数之间自我加深的循环作用在股市繁荣时可能引起泡沫,在股市低迷时可能会加剧调整,需要适度合理的政策来调节非理性情绪造成的市场波动。

基于DSSW模型投资者情绪与股价指数关系研究

基于DSSW模型,本文构建了不同预期时间跨度下投资者情绪与股票价格的关系模型,并依据预期时间跨度不同,投资者情绪的均值和方差有不同的特征,分析得出长、短期投资者情绪对股票价格的不同影响。进一步以好淡指数作为投资者情绪的代理变量,检验不同预期时间跨度的好淡指数与股价指数的关系,验证理论分析结论。最后给出对策建议。