Abstract
A variety of societal contradictions and conflicts are exposed in China along the process of economic and social transformation. Online societal risk perception is acquired by public searching behavior which has been mapped into respective societal risks based on indicators including national security, economy/finance, public morals, daily life, social stability, government management, and resources/environment. A stable and harmonious society is the basic guarantee for the sound development of the stock market. What we concern about is whether the variations of the societal risk are related to stock market volatility. The correlations between societal risk and stock market volatility are investigated. Although there are no trading data on holidays and weekends, the risk information of no-trading days is also taken into consideration to discuss if there are any impacts on stock market volatility. Three different econometric approaches are developed to explore the relationship between them. The results show that the risk of finance/economy, social stability, and government management could cause the fluctuation of stock market. Moreover, risk information of no-trading days has an impact on the stock’s volatility as well. The research demonstrates that capturing online societal risk based on public searching data is feasible and significant.
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