Abstract
This paper adopts the data of xueqiu.com in the first half of 2015 from the Datago database and selects 100 A-shares stocks in CSI100. The number of followers is considered when building the bullishness index. In addition, quantile regression is used to study the contem-poraneous and predictive effects of sentiment on stock returns. The result suggests that sen-timent has negative contemporaneous effects on stock returns, while for the predictive mod-el, the effect is positive. Furthermore, the effects of sentiment are stronger in extreme cir-cumstances and more substantial at lower quantile than at higher quantile. However, the weighted bullishness index does not explain well as the original one. Overall, this paper ver-ifies the difference of effects between extreme and normal conditions, then attempts to use a new method to construct a bullishness index and offer more evidence about the relationship between social network sentiment and stock returns in the Chinese stock market.
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