A Computational Account of Investor Behaviour in Chinese and US Market

Zeyan Zhao; Khurshid Ahmad

doi:doi:10.11648/j.ijebo.20150306.11

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A Computational Account of Investor Behaviour in Chinese and US Market

Zeyan Zhao, Khurshid Ahmad

Published in International Journal of Economic Behavior and Organization (Volume 3, Issue 6)

Received: 4 December 2015 Published: 5 December 2015

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Abstract

Using vector autoregressive models (VAR) and Granger causality tests, we have looked at the impact of news sentiment on Shanghai Stock Exchange Composite (SSEC) returns based on negative sentiment (words) in newspaper texts about the Chinese economy for a period of 15 years (2000-2014, 22000 news items comprising 15 million tokens). Negative sentiment words were extracted using a well-known sentiment lexicon and a computer program based on a bag-of-words model. In addition to the negative sentiment, we have analysed the impact of traded volume and S&P 500 index: S&P (lagged) returns and negative sentiment appear to have an impact on the SSEC index.

Published in	International Journal of Economic Behavior and Organization (Volume 3, Issue 6)
DOI	10.11648/j.ijebo.20150306.11
Page(s)	78-84
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2015. Published by Science Publishing Group

Keywords

Time Series Analysis, GARCH(1,1), Vector Autoregressive, Granger Causality, Sentiment Analysis

References

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Zeyan Zhao, Khurshid Ahmad. (2015). A Computational Account of Investor Behaviour in Chinese and US Market. International Journal of Economic Behavior and Organization, 3(6), 78-84. https://doi.org/10.11648/j.ijebo.20150306.11

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ACS Style

Zeyan Zhao; Khurshid Ahmad. A Computational Account of Investor Behaviour in Chinese and US Market. Int. J. Econ. Behav. Organ. 2015, 3(6), 78-84. doi: 10.11648/j.ijebo.20150306.11

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AMA Style

Zeyan Zhao, Khurshid Ahmad. A Computational Account of Investor Behaviour in Chinese and US Market. Int J Econ Behav Organ. 2015;3(6):78-84. doi: 10.11648/j.ijebo.20150306.11

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@article{10.11648/j.ijebo.20150306.11,
  author = {Zeyan Zhao and Khurshid Ahmad},
  title = {A Computational Account of Investor Behaviour in Chinese and US Market},
  journal = {International Journal of Economic Behavior and Organization},
  volume = {3},
  number = {6},
  pages = {78-84},
  doi = {10.11648/j.ijebo.20150306.11},
  url = {https://doi.org/10.11648/j.ijebo.20150306.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijebo.20150306.11},
  abstract = {Using vector autoregressive models (VAR) and Granger causality tests, we have looked at the impact of news sentiment on Shanghai Stock Exchange Composite (SSEC) returns based on negative sentiment (words) in newspaper texts about the Chinese economy for a period of 15 years (2000-2014, 22000 news items comprising 15 million tokens). Negative sentiment words were extracted using a well-known sentiment lexicon and a computer program based on a bag-of-words model. In addition to the negative sentiment, we have analysed the impact of traded volume and S&P 500 index: S&P (lagged) returns and negative sentiment appear to have an impact on the SSEC index.},
 year = {2015}
}

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TY  - JOUR
T1  - A Computational Account of Investor Behaviour in Chinese and US Market
AU  - Zeyan Zhao
AU  - Khurshid Ahmad
Y1  - 2015/12/05
PY  - 2015
N1  - https://doi.org/10.11648/j.ijebo.20150306.11
DO  - 10.11648/j.ijebo.20150306.11
T2  - International Journal of Economic Behavior and Organization
JF  - International Journal of Economic Behavior and Organization
JO  - International Journal of Economic Behavior and Organization
SP  - 78
EP  - 84
PB  - Science Publishing Group
SN  - 2328-7616
UR  - https://doi.org/10.11648/j.ijebo.20150306.11
AB  - Using vector autoregressive models (VAR) and Granger causality tests, we have looked at the impact of news sentiment on Shanghai Stock Exchange Composite (SSEC) returns based on negative sentiment (words) in newspaper texts about the Chinese economy for a period of 15 years (2000-2014, 22000 news items comprising 15 million tokens). Negative sentiment words were extracted using a well-known sentiment lexicon and a computer program based on a bag-of-words model. In addition to the negative sentiment, we have analysed the impact of traded volume and S&P 500 index: S&P (lagged) returns and negative sentiment appear to have an impact on the SSEC index.
VL  - 3
IS  - 6
ER  -

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Author Information

Zeyan Zhao

School of Computer Science and Statistics, Trinity College, the University of Dublin, Dublin, Ireland
Khurshid Ahmad

School of Computer Science and Statistics, Trinity College, the University of Dublin, Dublin, Ireland

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APA Style

Zeyan Zhao, Khurshid Ahmad. (2015). A Computational Account of Investor Behaviour in Chinese and US Market. International Journal of Economic Behavior and Organization, 3(6), 78-84. https://doi.org/10.11648/j.ijebo.20150306.11

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ACS Style

Zeyan Zhao; Khurshid Ahmad. A Computational Account of Investor Behaviour in Chinese and US Market. Int. J. Econ. Behav. Organ. 2015, 3(6), 78-84. doi: 10.11648/j.ijebo.20150306.11

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AMA Style

Zeyan Zhao, Khurshid Ahmad. A Computational Account of Investor Behaviour in Chinese and US Market. Int J Econ Behav Organ. 2015;3(6):78-84. doi: 10.11648/j.ijebo.20150306.11

Copy | Download

@article{10.11648/j.ijebo.20150306.11,
  author = {Zeyan Zhao and Khurshid Ahmad},
  title = {A Computational Account of Investor Behaviour in Chinese and US Market},
  journal = {International Journal of Economic Behavior and Organization},
  volume = {3},
  number = {6},
  pages = {78-84},
  doi = {10.11648/j.ijebo.20150306.11},
  url = {https://doi.org/10.11648/j.ijebo.20150306.11},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijebo.20150306.11},
  abstract = {Using vector autoregressive models (VAR) and Granger causality tests, we have looked at the impact of news sentiment on Shanghai Stock Exchange Composite (SSEC) returns based on negative sentiment (words) in newspaper texts about the Chinese economy for a period of 15 years (2000-2014, 22000 news items comprising 15 million tokens). Negative sentiment words were extracted using a well-known sentiment lexicon and a computer program based on a bag-of-words model. In addition to the negative sentiment, we have analysed the impact of traded volume and S&P 500 index: S&P (lagged) returns and negative sentiment appear to have an impact on the SSEC index.},
 year = {2015}
}

Copy | Download

TY  - JOUR
T1  - A Computational Account of Investor Behaviour in Chinese and US Market
AU  - Zeyan Zhao
AU  - Khurshid Ahmad
Y1  - 2015/12/05
PY  - 2015
N1  - https://doi.org/10.11648/j.ijebo.20150306.11
DO  - 10.11648/j.ijebo.20150306.11
T2  - International Journal of Economic Behavior and Organization
JF  - International Journal of Economic Behavior and Organization
JO  - International Journal of Economic Behavior and Organization
SP  - 78
EP  - 84
PB  - Science Publishing Group
SN  - 2328-7616
UR  - https://doi.org/10.11648/j.ijebo.20150306.11
AB  - Using vector autoregressive models (VAR) and Granger causality tests, we have looked at the impact of news sentiment on Shanghai Stock Exchange Composite (SSEC) returns based on negative sentiment (words) in newspaper texts about the Chinese economy for a period of 15 years (2000-2014, 22000 news items comprising 15 million tokens). Negative sentiment words were extracted using a well-known sentiment lexicon and a computer program based on a bag-of-words model. In addition to the negative sentiment, we have analysed the impact of traded volume and S&P 500 index: S&P (lagged) returns and negative sentiment appear to have an impact on the SSEC index.
VL  - 3
IS  - 6
ER  -

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