2014 International Conference on Social Science (ICSS 2014)

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1 2014 Inernionl Conferene on Soil Siene (ICSS 2014) Nework Forum Invesor Senimen, Senimen Voliliy And Sok Mrke---An Empiril Anlysis Bsed on Mulivrie GARCH-BEKK Model D-Yong DONG, Jun-Jun LAIb, Yu-Ji LONG, Hong-Bo YId,*, Tin-Lun ZHENGe Sool of Eonomis nd Mngemen, Souwes Jioong Universiy, Cengdu , Cin d [email protected] *Corresponding uor Keywords: Nework forum, invesor senimen, senimen voliliy, rding mrke Absr: Bsed on e ex of posing on e nework forum, we esblis se of keyword diionry o mesure e long nd sor invesors senimen effeively, en we invesige e muul relions beween invesor senimen nd e rding mrke roug Mulivrible BEKK-GARCH model of bnorml long nd sor invesors senimen, reurns nd bnorml rding volume. Te resuls sow bnorml senimen of long invesor s negive imp on e reurns nd posiive imp on e bnorml rding volume; Wile bnorml senimen of sor invesor s no imp on e reurn nd negive imp on e bnorml rding volume. Oerwise, ere is e negive voliliy effe from bnorml senimen of long invesor o reurns nd bnorml rding volume, e posiive voliliy effes from bnorml senimen of sor invesor o reurns, nd no voliliy effes from bnorml senimen of sor invesor o bnorml rding volume. In ddiion, nework forum invesor senimen is for ffeing e rding mrke. Te nlysis of forum informion plys erin role in presening mrke risk nd improving effiieny in mking invesmen deision. Inroduion Invesor senimen eory ws firs pu forwrd by De Long. Te invesor senimen, signifin opi in Beviorl Finne, ply porrys invesor s menl iviies nd refles invesor s expeion o mrke, wi plys n imporn role in deision-mking for invesors. In e opinion of De Long e l.(1990), owing o e muul influene nd unpredibiliy of invesor senimens, irrionlly priing nno be elimined, so invesor senimens beome sysemi risk of finnil sses equilibrium prie nd ffe reurns nd fluuions. Te reser of Lee, e l. (2002) furer proved invesor senimens re sysemi risk fors wi influene pries. Zongxin Zng e. (2013) found new informion led o e djusmen of invesors subjeive beliefs, wi furer influened e nge of invesor senimens nd en refleed wi e fluuion of sok pries. Pessimism nd opimism o sok mrkes re bo inluded in invesor senimens. Sine invesor senimens influene fluuion of risks nd reurns in sok mrke, ow do ey ply role in ffeing sok prie nd fluuion? Wi one leds mrke risk, Pessimisi senimen or opimisi senimen? Senimens re defined s belief of wrong expeion o fuure s flows nd invesmen risk, wi re used by e irrelevn informion bou pil vlues in e pil mrke nd by e fuure uneriny. Tis kind of erroneous beliefs leds irrionl bevior by noise rders nd inorrely priing. Individul invesors re lwys influened by senimens nd en beviorl bises nd ogniive bises our during e proess of rding. Anlyzing invesor senimens s eoreil nd pril signifine in risk reduion nd promoing sble rding mrkes. Zigo Yi e. (2009) oug senimens n promoe invesors o re unnimiy under e inerive menism nd en influene invesors deision. Aording o e 34 Cin Inerne Te uors - Publised by Alnis Press 74

2 Developmen Repor by CNNIC, by June 2006, e number of reil invesors in Cin reed 632 million; e populriy re of inerne reed 46.9%. As soil medi providing plforms for reil invesors o express opinions nd ge informion, sok forums ve srong ineriviy, lrge quniies of informion, fs upde speed, so ey n refle e invesors responses o sok mrkes in ime. Besides, reil invesors n influene sok mrkes roug posing nd dding ommens on e forum. Terefore, is pper will exr invesors senimens bsed on forums nd pu em ino e nlysis of sok pries fluuion nd mrke risks, wi is bsoluely signifin brekroug nd innovion ompred o e ngle of rdiionl nlysis. In summry, is pper fouses on weer posings on forums mesure differen invesor senimens effiienly? weer invesor senimens n influene e reurn nd fluuion in sok mrkes nd ow i works? Furer more, weer wo differen invesor senimens, pessimisi senimen or opimisi senimen, ve e sme effe on e fluuion of sok prie? Mrke risk omes from long invesor or sor invesor? Tese problems re w is pper disusses. Lierure Review Sudies ve sown invesor senimens bsed on soil medi re well orreled wi sok mrke. Telok (2007) linked ommen olumn on Wll Sree Journl wi reurn nd volume in sok mrke nd en found e upper-middle-level pessimisi senimens indie prie flling, bu exessively ig or low pessimisi senimens indie ig volume. Fok (2008) divided long nd sor suggesions on finne blogs in 2006 ino long-erm nd sor-erm suggesions in order o sudy eir effes on sok pries nd rding volume, from wi e found suggesions on blogs ould led bnorml rding volume nd negive bnorml reurn. Dyong Dong (2012) iniilly enively used informion on forum o prove ere is bidireionl fluuion spillover effe beween reurns in sok mrke nd bnorml posing volume. However, Dong s min purpose is o es e informion disseminion beween rding mrke nd sok forum, so e did no nlyze onens of posings in deil. Terefore, ere is no reser on weer nd ow invesor senimens bsed on sok forums n ffe mrke reurns, rding volume nd fluuions. Foreign solrs ve done some reser on ow o ge senimenl informion from lrge quniies of unsruured ex informion nd eir reser resuls ve provided eoreil nd enil referenes nd suppors for is pper. Cngqin Qun (2010) ose blogs s objes nd d soures of expressing senimens. Ten e onsrued emoionl orpus ve been nnoed mnully nd sudied expression of senimens in Cinese. Wi experimens on expressing senimens in exs, e found emoionl key words ould refle 69% of senimens nd e res 39% of senimens needed more nlysis on grmmr nd semnis. O Lery (2011) proposed o use reders lernive lbeling informion o mesure senimens expressed in blogs rer n rely on lbeling informion provided by blogs emselves. Lougrn (2011) onsrued n lernive negive words lis nd found ese words d signifin orrelion wi finnil vribles su s dily reurn, rding volume nd fluuion of reurn re dy 10-k ompnies delred, supporing ese words n effeively mesure ones nd senimens. Terefore, is pper mkes n ex nlysis wi posings on forums, esblises indexes n effeively mesure senimen of long-sor invesors nd sudies ow do invesor senimens influene reurn nd fluuion. I is firs ime o mesure individul invesor senimens bsed on sok forum oug ex nlysis eniques, nd empirilly nlyze ow do senimens influene reurn nd fluuion in Cin sok mrke, wi is e min innovion poin of is pper. Sudy Meodology Smples nd D Tis pper seles dily reurns nd dily rding volume of e Sngi Composie Index s e 75

3 bsi d of mrke, wi re from CSMAR dbse. Te smple overs 884 rding dys from Jnury 7, 2010 o Augus 30, 2013.Te senimen of long-sor invesors is bsed on e ex in e posing on Esmoney 1 forum br bou SSE Composie Index. Te esblismen of keyword diionry of e long senimen nd e sor senimen nd Mesuring senimen Tis pper downlods e onen of posing on Esmoney forum br bou SSE Composie Index from Jnury 7, 2010 o Augus 30, 2013 by progrmming e web rwler. Ten mke word segmenion nd frequeny sisis of e posing onen o sele e keywords represen e invesor senimen nd bevior rifiilly by e proedure of frequeny sisis, 394 keywords in ol. Finlly, pu ese words ino wo egories by repeedly ompring. Tis pper defined ese keywords refle negive senimen su s pessimism, pni, nxious nd beris s diionry of e sor senimen, 202 keywords in ol. On e onrry, define ese keywords refle posiive senimen su s opimism, ppy, promising nd bullis s diionry of e long senimen, 192 keywords in ol. Te esblismen of e vribles Tis pper disusses e led-lg relionsip invesor senimen bsed on e forum ve on e reurns nd e rding volume. Nmely e effe e invesor senimens in one dy ve on e mrke in e nex dy.te dily rding volume, e senimen of long-sor invesor re mesured by e logrimi volume nd e logrimi senimen respeively s followed: Vol ln( vol ) (1) L _ sen ln( l _ sen ) (2) S _ sen ln( s _ sne ) (3) Tble 1. Te bsi desripive sisis on vribles Vribles Men Sd. dev. Mx Min Skewness Kurosis ADF Vol [0.001] L_sen [0.001] S_sen [0.001] Te desripive sisis re sown in Tble 1. All e vribles were esed e 1% level of signifine, indiing ll e series re sionry series, so ey n pply o ARMA model. In e ARMA(p,q) model, e order of uoregressive(p) nd moving verge(q) is deermined in line wi AIC nd SC rierion. Te ARMA model nd prmeer esimion re s follows: Model 1: Te ARMA(2,1) model of rding volume(vol ): Vol Vol 11 Vol 1 12Vol Vol (4) Model 2: Te ARMA(5,1) model of e long senimen(l_sen ): L _ sen L _ sen 24 L _ sen 4 21L _ sen L _ sen 25 5 L _ sen (5) 21 1 L _ sen L _ sen Model 3: Te ARMA(1,2) model of e sor senimen(s_sen ): 1 Es money is one of e bigges BBS of finne nd eonomis in in. 76

4 S _ sen S _ sen 31 S _ sen S _ sen (6) Tble 2. Te regression resuls of ARMA(p,q) Consn i1 i2 i3 i4 i5 i1 i2 Model ARMA(2,1) (186.95) (16.89) (-4.75) (11.18) [0.000] [0.000] [0.000] [0.000] Model ARMA(5,1) (18.05) (29.35) (-2.66) (-4.17) (3.82) (-4.35) (32.42) [0.000] [0.000] [0.007] [0.000] [0.000] [0.000] [0.000] Model ARMA(1,2) (29.44) (100.73) (13.95) (4.94) [0.000] [0.000] [0.000] [0.000] Te regression resuls of ble 2 sow ll e prmeers pss e signifin es. So e residul( )is defined s bnorml rding volume (AVol ), e residul( )is defined s e Vol bnorml senimen of long invesor(al_sen ), nd e residul( senimen of sor invesor(sl_sen ). Empiril model S _ sen L _ sen )is defined s e bnorml Tis pper pplied e mulivrie GARCH-BEKK model o sudy e relionsip mong e four vribles, is reurns, bnorml rding volume nd e bnorml senimen of e long-sor invesors. BEKK model ws proposed by Engle nd Kroner(1995), wose dvnge is o ensure e ovrine mrix sould sisfy posiive definie ondiion nd less number of prmeer esimion. Tis pper ses up qurernry BEKK model s follows: R r 1R 1 1AVol 1 1AL_ sen 1 1 AS _ sen 1 1 AVol AVol 2R 1 2 AL_ sen 1 2 AS _ sen 1 2 AL_ sen AL_ sen 3R 1 3AVol 1 3AS _ sen 1 3 AS _ sen AS _ sen 4R 1 4 AVol 1 4 AL_ sen 1 4 H C' C A' ' A B' H B (8) Were equion (7) is e men equion of BEKK model, equion (8) is e vrine equion. R, AVol, AL_sen, AS_sen nd μ r, μ AVol, μ AL_sen, μ AS_sen represen dily logrimi reurn, dily bnorml rding volume, dily bnorml senimen of long invesor, dily bnorml senimen of long invesor nd e men vlue of e four vribles in e smple inervl. is 4x1 error veor, e orresponding ondiionl ovrine mrix is H. I -1 represens informion se -1 ime. Te residul ypoesis obeys mulivrie GED(generlized error disribuion) disribuion. Te vrine equion (8) is sown s follows: (7) 77

5 T T 11, 12, 13, 14, , 22, 23, 24, T ( ),,,, ,,,, (9) T β β12 β13 β 14, 1, 1, 1, 1 β11 β12 β13 β14 β β22 β23 β24, 1, 1, 1, 1 β21 β22 β23 β24 β 31 β32 β33 β34 31, 1 32, 1 33, 1 34, 1 β31 β32 β33 β34 β 41 β42 β43 β β41 β42 β43 β, 1, 1, 1, 1 44 Were α ij is e ARCH oeffiien. Wen i=j, i represens e influene degree from e prior informion o e mrke. Wen i j, i represens e influene degree from e voliliy of series i o e voliliy of series j, refleing e ARCH effe of fluuion. β ij is e GARCH oeffiien, represening e viliy of voliliy rnsmission beween series i nd series j, refleing e GARCH effe of fluuion. Empiril Anlysis Te bsi desripive sisis on vribles Tble 3. e bsi desripive sisis on vribles R AVol AL_sen AS_sen Men Sd. dev Skewness Kurosis J-B [0.000] [0.000] [ [0.000] Q(1) [0.712] [0.985] [0.920] [0.969] Q(5) [0.467] [0.987] [0.999] [0.877] Q(15) [0.495] [0.980] [0.643] [0.215] Q 2 (1) [0.521] [0.868] [0.000] [0.563] Q 2 (5) [0.189] [0.532] [0.000] [0.078] Q 2 (15) [0.076] [0.017] [0.000] [0.000] ADF 30.03[0.000] [0.001] [0.001] [0.001] Te bsi desripive sisis, e uo orrelion es, sionry es nd normliy es re sown in Tble 3. Te normliy es resuls (J-B) of R, AVol, AL_sen nd AS_sen sow ese four series refuse ypoesis of norml disribuion. Te es of Q- sisi sows ere is no uo orrelion for ese four vribles. Bu e Q 2 -sisi sows ll e vribles ve uo orrelion wi ig order. T is o sy, ime-vrin nd ggregion exis in e fluuion of ll e vribles. Besides, e ADF es sows ll e vribles re sionry series. Te prmeer esimion of qurernry BEKK-GARCH Tble 4. Te prmeer esimion of qurernry BEKK-GARCH Prmeer esimion Sd. dev. T-sis p r R {1} AVol {1} AL _ sen{1} AS _ sen{1} AVol

6 R {1} AL _ sen{1} AS _ sen{1} AL_ sen R {1} AVol {1} AS _ sen{1} AS _ sen R {1} AVol {1} AL _ sen{1} e

7 Spe From e perspeive of e men equion of reurns, bnorml rding volume is no signifin e 10% signifine level, wi illusres e bnorml rding volume n explin e reurns. Te regression oeffiien of bnorml senimen of long invesor psses e signifin es, wi illusres bnorml senimen of long invesor s n imp on e reurns, Te regression oeffiien is negive, is o sy, e bullis expeion of invesors bsed on nework forum is no relized, e mrke will fll insed, I n be explined in su Cinese mrke lk of sor sysem, ere re gme beween individul invesors nd insiuionl invesors, individul invesors re ofen misleding by informion symmery, ogniive bis nd erd bevior, so ey re in e inferior posiion in e sok mrke. Te regression oeffiien of bnorml senimen of sor invesor does no pss e signifin es, wi illusres bnorml senimen of sor invesor bsed on nework forum s no imp on e reurns, is o sy, e negive senimen of invesors on e forum n no ffe e sok prie. From e perspeive of e men equion of bnorml rding volume, e prmeer esimions of reurns, bnorml senimen of long invesor nd bnorml senimen of sor invesor pss e signifin es 1 peren. Te oeffiien of reurn is posiive, wi indies e reurns ve n posiive imp on e bnorml rding volume. So e prie rising in e mrke erly n mke invesors o priipe in e sok mrke ively, wile flling mrke mke invesors o ve uious iude. Te posiive bnorml senimen of long invesor indies e bnorml senimen of long invesor erly ve posiive imp on e bnorml rding volume, is o sy, n opimisi senimen expression will mke invesors o inrese e demnd for e sok. Te negive bnorml senimen of sor invesor indies e bnorml senimen of sor invesor erly ve reverse imp on e bnorml rding volume. From e perspeive of e men equion of bnorml senimen of long invesor, e prmeer esimions of reurn is signifin 1 peren, bu e bnorml rding volume is no signifin, wi indie e ups nd downs in e mrke will ve n imp on e invesors senimen, e bnorml rding volume informion does no. All e regression oeffiiens re negive, indiing e mrke rising will weken senimen s opimism, bu lso will redue more pessimisi emoion expression. I n be explined e mrke rise likely mke invesors o sif eir fous, invesors will priipe in disussion su s fundmenl or oer informion. From e perspeive of e men equion of bnorml senimen of sor invesor, e prmeer esimions of reurn is signifin negive 1 peren. e mrke deline will mke invesor o express more pessimisi senimen. I n be explined wen e mrke is flling, invesors n no find e rel reson mrke is down, en eir disussions onin e buse, sdness senimen nd so on. Te prmeer esimion of bnorml senimen of sor invesor is signifin posiive 1 peren, wile e long invesor senimen does no pss signifine es. From e perspeive of e vrine equion, e oeffiien of β 11, β 31, β 41 is signifin 1 peren, nd β 21 is no signifin 10 peren, wi indie e reurn voliliy is no only influened by iself erly fluuions, bu lso influened by bnorml invesor senimen fluuion fluuion. β 31 <0, i mens bnorml senimen voliliy of long invesor will ve n reverse imp on e reurn voliliy, β 41 >0, i mens bnorml senimen voliliy of sor invesor will ve n posiive imp on e reurn voliliy. T is o sy, bnorml senimen voliliy of long invesor n redue e mrke fluuions effiienly, nd bnorml senimen voliliy of sor invesor n inrese e mrke fluuions effiienly. So bnorml senimen of sor invesor bsed on forum is for influene mrke risk. β 13 >0, β 14 >0, I mens e reurn voliliy s posiive imp on e bnorml invesor senimen voliliy, e nge of reurn is n influene for mke invesors senimen o nge. β 13 >β 14, wi indies e 80

8 mrke voliliy ve more inense imp on e bnorml senimen voliliy of sor invesor n long invesor. Conlusion Tis pper mkes n ex nlysis wi e posing on Esmoney forum br bou SSE Composie Index, esblising se of keyword diionry o mesure senimen of long nd sor invesor effeively, en we invesige e effe e bnorml senimen voliliy of invesors ve on e mrke roug Mulivrible BEKK-GARCH model of bnorml long nd sor invesors senimen, reurns nd bnorml rding volume. Te min onlusions re s follows: (1) Te bnorml senimen of long invesor bsed on forum ve negive imp on e reurns nd posiive imp on bnorml rding volume; Te bnorml senimen of sor invesor ve negive imp on bnorml rding volume nd no imp on e reurns. Te reurns ve negive influene on e bnorml senimen of long nd sor invesors, wile e bnorml rding volume ve no influene on e bnorml senimen of long nd sor invesors. (2) Te bnorml senimen voliliy of long invesor bsed on forum ve negive imp on e voliliy of reurns nd bnorml rding volume; Te bnorml senimen voliliy of sor invesor bsed on forum ve posiive imp on e voliliy of reurns nd no imp on e voliliy of bnorml rding volume. Te voliliy of reurns ve posiive imp on e bnorml senimen voliliy of long nd sor invesor, wile e voliliy of bnorml rding volume ve negive imp on e bnorml senimen voliliy of long invesor nd no imp on e bnorml senimen voliliy of sor invesor. Te empiril resuls sow e expression of invesor senimen on e forum n influene e sok mrke furer. Wi e rpid developmen of e nework, e influene will beome deeper nd deeper. As developing ounry, e developmen of finnil mrkes is no mure enoug relive o e developed ounries, nd e sysem risk is relively ig, so is reser is very imporn. From e poin of risk supervision, e resuls of is pper n provide new perspeive of supervision o e regulors, provide supervision bsis for regulory e informion disseminion of nework medi. I is signifin o e supervision of nework medi, finnil mrke sbiliy nd e ely developmen of e pil mrke. Abou e pril signifine of e reser, I n provide deision-mking bsis nd n effeive reser meod o e insiuionl nd individul invesors. Aknowledgemen Finned by e Key Proje Nionl Nurl Siene Foundion of Cin (Proje No. : ) Referenes [1] Delong J B, Sleifer A, Summers L, e l. Noise rder risk in finne, 1997,52(1): [2] Dong Dyong, Xio Zuoping. Is Tere Informion Trnsmission beween Mrke nd Inerne Forum? [J] Mngemen Review, 2012, 23(11): [3] Engle Rober F., Kroner Kenne F. Mulivrie Simulneous Generlized ARCH [J]. Eonomeri Teory, 1995,11(1): [4] Fok V. Te imp of blog reommendions on seuriy pries nd rding volumes [J]. Soil Siene Reser Nework Working Pper Series, 2008, 15. [5] Lee W Y, Jing C X, Indro D C. Sok mrke voliliy, exess reurns, nd e role of invesor senimen[j]. Journl of Bnking & Finne, 2002, 26(6):

9 [6] Lougrn T, MDonld B. Wen is libiliy no libiliy? Texul nlysis, diionries, nd 10-Ks [J]. Te Journl of Finne, 2011, 66(1): [7] O'Lery D E. Blog mining-review nd exensions: From e ording o is opinion [J]. Deision Suppor Sysems, 2011, 51(4): [8] Qun C, Ren F. A blog emoion orpus for emoionl expression nlysis in Cinese[J]. Compuer Spee & Lnguge, 2010, 24(4): [9] Telok P C. Giving onen o invesor senimen: Te role of medi in e sok mrke [J]. Te Journl of Finne, 2007, 62(3): [10] Yi Zigo, Mo Ning. Sudy on emoionl mesuremen of Cin invesors: e onsruion of CICSI [J]. Journl of Finnil Reser, 2009(11): [11] Zng Zongxin, Wng Hiling. Invesor senimen, e subjeive belief djusmen nd mrke voliliy [J]. Journl of Finnil Reser, 2013(4):