Abstract
ABSTRACT This paper investigates the multiscale dynamic relations between China Central Television News (CCTV News) and investor sentiment in China by employing the wavelet method. We document significant positive correlations between CCTV News’s economic focus/economic tone and investor sentiment at the raw and high-frequency levels using the wavelet DCC-GARCH model. Wavelet Granger causality tests and wavelet coherence analysis confirm that the economic focus/economic tone of CCTV News is dominant and leads investor sentiment for short-term investors. At the same time, investor sentiment can conversely affect CCTV News’s economic focus/economic tone for medium-term investors. There is a long-term interdependence between CCTV News’s economic focus/tone and investor sentiment. Furthermore, the interaction between CCTV News and investor sentiment increases in turbulent periods compared with relatively calm periods. Finally, we find that CCTV News’s economic focus and tone positively affect the stock market returns. The influence seems to be an overreaction in the short term and an underreaction in the long term.
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