Effect Of Sentiment Research Articles

The Spillover Effects of Market Sentiments on Global Stock Market Volatility: A Multi-Country GJR-GARCH-MIDAS Approach

In behavioral economics, it has widely been documented that there might be a close relationship between overall market sentiment and economic performance, such as GDP per capita. In this paper, we investigate the effects of market sentiment on stock market volatility, which has widely been recognized as an important factor for economic sustainability. In particular, we aim to identify the existence of spillover effects of market sentiments on global stock market volatility. As a first attempt, we chose ten countries from major economic regions over the world (including America, Asia, Europe, and Oceania), and analyzed their interdependence and interconnectedness using a GJR-GARCH-MIDAS model. The results highlight that an individual country’s stock market volatility is significantly influenced not only by its own market sentiment (proxied by the consumer confidence index) but also by the overall market sentiments of other countries across the world. The results also highlight significant country-by-country heterogeneity in the time lags of the global spillover effects, which indicates substantial heterogeneity in the behavioral dynamics of individual countries.

Climate change sentiment, ESG practices and firm value: international insights

PurposeThis study investigates the effect of climate change sentiments (CCS) on firm value (FV) and how environmental, social and governance (ESG) practices moderate this effect.Design/methodology/approachHigh-dimensional fixed effects and a two-stage generalized method of moments are applied to data on 6,059 publicly traded firms from 2006 to 2022.FindingsThere is a significant negative effect of CCS on FV, specifically on growth option value (GOV) and Tobin’s Q (TQR), which intensifies during crisis periods. ESG practices, however, moderate this relationship positively, especially for firms with higher GOV and TQR, enhancing their resilience to climate risks. External shocks accelerate sustainability-driven strategies in firms with higher CCS exposure. In developed countries, firms show a stronger sensitivity to CCS due to stronger institutional environments and investor pressure, while firms in developing countries exhibit a weaker sensitivity.Practical implicationsThe results underline the necessity for corporate managers to proactively manage climate-related risks and integrate robust ESG strategies to sustain and enhance FV. Analysts, risk managers and investors should consider a company’s exposure to CCS and its ESG performance when assessing risk profiles. Policymakers are encouraged to implement stronger regulatory frameworks and incentives promoting corporate transparency and accountability in managing climate-related risks.Originality/valueThis study unfolds novel evidence, linking psychological research and the traditional basic modified model through an examination of the effect of CCS on FV using an international sample. It highlights the critical role of ESG practices in mitigating the adverse effects of CCS on FV, providing valuable insights for businesses, investors and policymakers.

Ripple effect of ESG sentiment: How news stirs the waves in China's A-share market

Ripple effect of ESG sentiment: How news stirs the waves in China's A-share market

What Drives the Top Management Team's Sentiment and Perception of Future Risk and Uncertainty? A Selling-Capability Based View

ABSTRACT Purpose This study postulates that a firm’s level of value appropriation capability (viz. selling capability) plays a pivotal role in influencing a firm’s top management team’s (TMT) sentiment and its perception of future risk and uncertainty. Further, the current study posits that the nexus between firm-level selling capability and the TMT’s sentiment and future risk perception is contingent upon the firm’s industry growth. Design/methodology/approach This research employs a textual analysis-based measure of TMT’s sentiment and perception of future risk and uncertainty and data envelopment analysis (DEA)-based measure of firm-level selling capability, using a sample of 243 USA-based firms during the period 2014 to 2020 and employing an endogeneity-robust econometric modeling technique. Findings The current study demonstrates that selling capability positively affects a firm’s TMT’s sentiment and negatively impacts the TMT’s perception of future risk and uncertainty. Furthermore, the association between selling capability and TMT’s sentiment and future risk perception are accentuated by industry growth. Research limitations/implications Future studies are warranted to unearth how the association between the focal variables changes depending on the effect of other firm-specific internal boundary conditions. Practical implications The results demonstrate sales and marketing managers should develop efficient sales organization and management techniques to bolster the overall firm-level selling capability. Managers should focus on enhancing their firm-level selling capability to maximize the positive impact on the TMT’s sentiment. Originality/value Although studies have shown the effect of managerial sentiment on firm behavior, there is no empirical evidence, to our knowledge, as to what drives TMT’s sentiment and perception of risk and uncertainty. The present treatise shows that a firm’s selling capability and industry growth affect the TMT’s sentiment and the perception of future risk and uncertainty.

The relevance and influence of social media posts on investment decisions of young and social media-savvy individuals — An experimental approach based on Tweets

We conducted an experiment to examine the role of positive and negative tweets (generated by AI) on investment behavior of young and social media-savvy individuals, comparing them with provided historical and fundamental financials. Through mediator analysis, we discovered that positive tweets have a significantly positive mediating effect on investment amounts, while negative tweets have a negative impact. Importantly, we found that this effect is not primarily driven by the perception of the tweets; rather, positive tweets influence individuals’ perception of a company’s financials which is the most influencing factor in individuals’ investment decision. In this manner our study contributes to the existing literature by (1) proving evidence for a causal effect of social media investor sentiment on investment behavior on capital markets and especially (2) focussing how the influence channels are built.

Who really cares? Climate change exposure and auditor conservatism: Evidence from China

This study examines the association between climate change exposure and auditor conservatism, indicating that firms with high climate change exposure demonstrate a higher level of auditor conservatism. The mechanism analysis reveals that climate change exposure reinforces auditor conservatism partly through the combined effects of earnings management and investor sentiment. Multiple robustness checks confirm the validity of main results. Given the growing interest in climate change and its associated risks in both practice and research, as well as the expected increasing significance of these risks, our findings are timely to a broad audience, including investors, regulators, auditors, managers, and scholars.

Research on the Impact of Economic Policy Uncertainty and Investor Sentiment on the Growth Enterprise Market Return in China—An Empirical Study Based on TVP-SV-VAR Model

This study employs the economic policy uncertainty index to gauge the level of economic policy uncertainty in China. Utilizing textual data from the growth enterprise market internet community, we construct the growth enterprise market investor sentiment index by applying the deep learning ERNIE (Enhanced Representation through Knowledge Integration) model, thereby capturing investors’ sentiment within the growth enterprise market. The dynamic interplay between economic policy uncertainty, investor sentiment, and returns of the growth enterprise market is scrutinized via the TVP-SV-VAR (time-varying parameter stochastic volatility vector auto-regression) model, and the asymmetric response of different industries’ stock returns within the growth enterprise market to economic policy uncertainty and investor sentiment shock. The findings of this research are that economic policy uncertainty exerts a negative influence on both investor sentiment and returns of the growth enterprise market. While it may trigger a temporary decline in stock prices, the empirical evidence suggests that the impact is of short duration. The influence of investor sentiment on the growth enterprise market returns is characterized by a reversal effect, suggesting that improved sentiment may initially boost stock prices but could lead to a subsequent decline over the long term. The relationship between economic policy uncertainty, investor sentiment, and returns of the growth enterprise market is time-variant, with heightened sensitivity observed during bull markets. Lastly, the effects of economic policy uncertainty and investor sentiment on the returns of different industries within the growth enterprise market are found to be asymmetric. These conclusions contribute to the existing body of literature on the Chinese capital market, offering a deeper understanding of the complex dynamics and the factors influencing market behavior.

SOCIAL MEDIA SENTIMENT AND STOCK MARKET VOLATILITY: EVIDENCE FROM THE US HI-TECH COMPANIES

Purpose: This study aims to investigate the effects of social media sentiment, measured by Twitter-based uncertainty index, on the stock market volatility of the US technology companies. Design/methodology/approach: Methodologically, we employ the quantile regression model. Our findings reveal that the volatility of Amazon, Apple, Google and IBM stocks are sensitive to the variations in twitter-based economic and market uncertainties (i.e., TEU and TMU indexes). Findings: We observe significant influences at both lower and upper quantiles. Thus, for both high and low volatility regimes, the information on twitter-based uncertainty indexes can be used to predict the market volatility of these leading hi-tech companies. Moreover, TEU and TMU indexes exert positive effects on the stock price implied volatility implying that the variance of these technology firms experiences an upward trend as the social media uncertainty rises. Originality/value: While numerous studies have focused on the influence of social media (e.g., Facebook, twitter etc.) on investment strategies, the impact of twitter sentiments on the risk linked to hi-tech firms remains understudied. Hence, investors participating in the technology sectors could use our findings for managing portfolio risk.

A Study of the Effect of Beauty Consumer Sentiment after Covid-19 on Hair Salon Revisit Intention

Purpose: As social distancing continues due to the pandemic, research results show that psychologically exhausted people are willing to increase consumption despite their perception of safety due to compensation psychology. Following research results showing that the safety of beauty must be ensured due to Covid-19, it is being argued that the beauty industry, which was greatly affected by the economic downturn, should be revitalized as Covid-19 enters a phase of calming down again. Therefore, there is a need to verify what factors influence customers who visited hair salons before Covid-19 to revisit the salon. The purpose of this study is to present a positive impact as a way to stimulate the intention to revisit hair salons.
 Method: The data of this study was an online survey targeting men and women who had experience of using hair salons. we aim to analyze the effect of Beauty Consumer Sentiment after Covid-19 and its sub-factors on Hair salon Revisit Intention. The data were statistically analyzed using SPSS 25.0, and first exploratory factor analysis was performed to analyze the validity of the measurement tool. Reliability was analyzed using Cronbach's alpha coefficient. Frequency analysis and descriptive statistical analysis were performed. Independent t-test, Pearson’s correlation analysis and regression analysis were performed.
 Results: Beauty Consumer Sentiment after Covid-19 had a significant positive effect on Hair salon Revisit Intention. Among the subfactors of Beauty Consumer Sentiment after Covid-19, Safety Expectations and Psychological Compensation did not have a significant positive influence on Hair Salon Revisit Intention. Among the subfactors of Beauty Consumer Sentiment after Covid-19, service expectation had a significant positive effect on Hair salon revisit intention.
 Conclusion: As Beauty consumer sentiment improves, repeat visits increase. Among consumer psychology, it was found that service expectation had a positive influence. This can be said to be a similar result to how service quality affects repeat visits. The reason why safety expectations have not had an impact after Covid-19 is because safety is fully recognized, so safety cannot be seen as leading to repeat visits. It can be said to be a differentiated study in that it yielded different results from existing studies on safety and compensation psychology. In future research, we hope to overcome the limitations of this study and to achieve objective and clear research results by diversifying the study in more detail by region and age.

Effect of Market-Wide Investor Sentiment on South African Government Bond Indices of Varying Maturities under Changing Market Conditions

The excess levels of investor participation coupled with irrational behaviour in the South African bond market causes excess volatility, which in turn exposes investors to losses. Consequently, the study aims to examine the effect of market-wide investor sentiment on government bond index returns of varying maturities under changing market conditions. This study constructs a new market-wide investor sentiment index for South Africa and uses the two-state Markov regime-switching model for the sample period 2007/03 to 2024/01. The findings illustrate that the effect investor sentiment has on government bond indices returns of varying maturities is regime-specific and time-varying. For instance, the 1–3-year government index return and the over-12-year government bond index were negatively affected by investor sentiment in a bull market condition and not in a bear market condition. Moreover, the bullish market condition prevailed among the returns of selected government bond indices of varying maturities. The findings suggest that the government bond market is adaptive, as proposed by AMH, and contains alternating efficiencies. The study contributes to the emerging market literature, which is limited. That being said, it uses market-wide investor sentiment as a tool to make pronunciations on asset selection, portfolio formulation, and portfolio diversification, which assists in limiting investor losses. Moreover, the findings of the study contribute to settling the debate surrounding the efficiency of bond markets and the effect between market-wide sentiment and bond index returns in South Africa. That being said, it is nonlinear, which is a better modelled using nonlinear models and alternates with market conditions, making the government bond market adaptive.

Which Receives More Attention, Online Review Sentiment or Online Review Rating? Spillover Effect Analysis from JD.com.

Studies have found that competitive products' online review ratings (ORRs) have a spillover effect on the focal product's sales. However, the spillover effect of online review sentiment (ORS) as an essential component of online review analysis has yet to be studied. In this study, we analyze online review content from JD.com using the latent Dirichlet allocation to identify the product attribute topics that consumers are most concerned about. We then construct a baseline regression model of ORS and ORRs to explore the effects of online competitive product reviews on focal product sales. Moreover, we examine how the interaction between ORS and critical factors of online reviews affect sales. Our results indicate that the ORS of competitive products has a negative effect on focal product sales, and the effect is greater than the ORS and ORRs of focal products, respectively. In addition, the ORS of competitive products inhibits the sale of focal products as evaluations of product attributes become more positive or online review usefulness increases. We also find that the effect of ORRs of competitive products is not significant, which may be because clothing, as an experiential product, requires consumers to gain more information about specific usage scenarios before making a decision. This study provides a more accurate basis for consumer decision-making and offers retailers a novel approach to developing marketing strategies.

Cost of debt financing, stock returns, and corporate strategic ESG disclosure: Evidence from China

AbstractWhether corporate strategic Environmental, Social, and Governance (ESG) disclosure can be effectively screened by external markets still needs more empirical support. Despite numerous studies confirming the positive impact of ESG, the issue of strategic ESG disclosure has yet to receive sufficient attention. This study examines the impact of ESG greenwashing on the cost of debt financing and stock returns using panel data of Chinese A‐share listed corporates from 2012 to 2021. The study finds that external markets fail to recognize ESG greenwashing in the short term, leading to a temporary reduction in the cost of debt financing and an increase in stock returns, but these effects are not lasting. Mechanism analysis shows that ESG greenwashing enhances corporate reputation and reduces the cost of debt financing through the reputation effect, stimulates investor sentiment, and improves stock returns through the sentiment effect. The study identifies management myopia, excessive power, financial distress, and information asymmetry as the main drivers. However, strong oversight by independent directors, involvement of Big Four audit firms, investor site visits, and high industry competition can mitigate these misleading effects. This research expands the understanding of the causes and economic consequences of corporate ESG greenwashing and provides empirical evidence for managing this phenomenon.

Asymmetric dynamic linkage between consumer sentiment, inflation expectations, and international energy prices: Evidence from time-frequency wavelet and nonlinear analysis.

This study investigates the relationship between consumer sentiment (CONS), inflation expectations (INEX) and international energy prices, drawing on principles from behavioral. We focus on Brent crude oil price and Henry Hub natural gas prices as key indicators of energy market dynamics. Based on the monthly data from January 2003 to March 2023, three wavelet methods are applied to examine the time-frequency linkage, while the nonlinear distributed lag model (NARDL) is used to verify the asymmetric impact of two factors on energy prices. The results highlight a substantial connection between consumer sentiment, inflation expectations and international energy prices, with the former in the short term and the latter in the medium to long term. Especially, these correlations are particularly pronounced during the financial crisis and global health emergencies, such as the COVID-19 epidemic. Furthermore, we detect short-term asymmetric effects of consumer sentiment and inflation expectations on Brent crude oil price, with the negative shocks dominating. The positive effects of these factors on oil prices contribute to observed long-term asymmetry. In contrast, inflation expectations have short-term and long-run asymmetric effects on natural gas price, and both are dominated by reverse shocks, while the impact of consumer sentiment on natural gas prices appears to be less asymmetric. This study could enrich current theories on the interaction between the international energy market and serve as a supplement to current literature.

Effects of sentiment discreteness on MOOCs’ disconfirmation: text analytics in online reviews

ABSTRACT In Massive Open Online Courses (MOOCs), online reviews serve as a basis for teachers to improve their courses. The disconfirmation effect of online reviews, i.e. the inconsistency between the level of attention paid to a course factor and the actual weight of that factor’s influence on learner satisfaction, leads to erroneous judgments by teachers. Based on the two-factor theory of emotion, 4,070 courses and 165,705 online reviews are adopted as a corpus to identify the effect of learner sentiment on the disconfirmation effect. The empirical results show that there is a significant disconfirmation effect for negative reviews, but not for positive ones. A fine-grained analysis on negative sentiment finds that reviews containing more sadness and anger sentiments have a stronger disconfirmation effect. A comparison of course types reveals that the disconfirmation effect is stronger for instrument-based courses than that for knowledge-based and practice-based ones. In addition, negative word-of-mouth weakens the disconfirmation effect of sadness and anger reviews and enhances the disconfirmation effect of positive reviews. Further, learner’s reputation weakens the disconfirmation effect of sadness reviews and enhances the disconfirmation effect of positive and anger reviews.

Analisis Dampak Volatilitas Pasar, Faktor Fundamental, dan Sentimen Investor terhadap Keputusan Investasi Saham pada Mahasiswa Program Studi Manajemen Fakultas Ekonomi Universitas Slamet Riyadi Surakarta Tahun 2024

Abstract. This study aims to analyze the effect of Market Volatility, Fundamental Factors, and Investor Sentiment on Stock Investment Decisions of Management Study Program Students, Faculty of Economics, Slamet Riyadi University, Surakarta. The research sample was taken using the Slovin technique, which resulted in a sample size of 78 students. The data collection technique was carried out through a questionnaire distributed to students who met the criteria. The research instrument test used validity and reliability tests. The classical assumption test used multicollinearity test, autocorrelation test, heteroscedasticity test, and normality test. The data analysis technique used descriptive analysis, multiple linear regression analysis, t-test, F-test and coefficient of determination (R²). The conclusion obtained from this study is that Market Volatility, Fundamental Factors, and Investor Sentiment have a significant influence on students' Stock Investment Decisions. These findings indicate that a deep understanding of the capital market and the factors that influence it is very important in making the right investment decisions. The results show that the coefficient of determination (adjusted r2) for this model is 0.700, meaning that the contribution of the independent influence of market volatility, fundamental factors and investor sentiment to stock investment decisions is 70%. The rest (100% - 70%) = 30% is explained by other variables outside the model such as gender, age, overconfidence, market awareness, income, etc.

Investor attention and environmental performance of Chinese high-tech companies: the moderating effects of media attention and coverage sentiment

In the context of China’s rapid economic development, corporate pollutant emissions are increasing, underscoring the imperative for further enhancement of corporate environmental performance. Given the significance of high-tech enterprises in the environmental domain, this study examines the impact of investor attention on the corporate environmental performance of Chinese high-tech enterprises. This study utilized data from 463 high-tech enterprises in mainland China from 2011 to 2022 and employed the dynamic panel generalized method of moments (GMM) technique. The findings indicate that investor attention has a negative impact on the corporate environmental performance of high-tech enterprises. This research also finds that both media attention and coverage sentiment mitigate the negative relationship between investor attention and environmental performance of high-tech firms. Heterogeneity analysis reveals that in the sample of IT service industry, heightened media attention exacerbates the negative impact of investor attention on corporate environmental performance, and media coverage sentiment exhibits no significant moderating effect. Within samples of non-polluting and state-owned enterprises, increased media coverage sentiment amplifies the negative impact of investor attention on corporate environmental performance. This paper suggests that policymakers should foster a media environment that supports accurate and thorough environmental reporting while businesses should proactively engage with media to align investor perceptions with sustainable environmental practices.

Interaction between investor sentiment, limits to arbitrage and the returns of stock market anomalies: evidence from the UK stock market

This study investigates the role of two prominent concepts in finance: limits to arbitrage and investor sentiment in stock prices. The study examines how changes in market-wide investor sentiment and limits to arbitrage can affect the performance of nine UK stock market anomalies. The extant literature relating to investor sentiment focuses mainly on the US stock market, whilst research on the UK market typically examines aggregated index-level data. In addition, previous studies have focused on examining investor sentiment and limits to arbitrage separately. Using data from UK-listed companies over the period January 1997 to December 2019, the study finds that five stock market anomalies were related to changes in UK investor sentiment and produced significantly higher returns following periods of high investor sentiment, while the effect of limits to arbitrage was mostly limited. However, the interaction analysis provided support to the limits to arbitrage theory and demonstrated that the effect of high investor sentiment on stock market anomalies was more pronounced when combined with high limits to arbitrage and had less effect during periods characterised by low limits to arbitrage.

Managerial sentiment and employment

Recent research shows that managers, much like investors, are prone to sentiment. In this paper, we study the effect of managerial sentiment on firms’ operations both theoretically and empirically. Consistent with our model’s predictions, we find that high managerial sentiment increases employment growth, especially among firms with limited investment opportunities and regardless of their cash resources. We also show that high managerial sentiment offsets the negative effect of low investor sentiment and bad governance on employment, but ultimately leads to lower labor productivity. Overall, the findings unveil a new channel through which optimistic managers affect firms’ operations.

Effects of sentiment quantity, dispersion, and dissimilarity on online review forwarding behavior: An empirical analysis

Online forwarding behavior, which involves users sharing information through URLs on social media platforms, has been extensively acknowledged as important to businesses, society, and individuals. Although previous research has discussed its antecedents from the sentiment perspective, most of them focus on the effect size, without differentiating the distinct effects of positive and negative sentiment. This study not only tests the association between positive (negative) sentiment and online forwarding but also examines how the aforementioned association varies from sentiment dispersion, measured by the variance of sentiment between individuals and groups (i.e., positive vs. negative sentiment dispersions); and sentiment dissimilarity, measured by the inconsistency between review content and title in terms of sentiment (i.e., positive vs. negative sentiment dissimilarities). Analysis of the data set collected from TripAdvisor yields the following findings: (1) positive sentiment negatively affects forwarding behavior, (2) negative sentiment positively affects forwarding behavior, (3) positive sentiment dispersion strengthens the negative effect of positive sentiment, but the moderation effect of positive sentiment dissimilarity is insignificant, and (4) negative sentiment dispersion/dissimilarity dampens the positive effect of negative sentiment. Findings extend our understanding of sentiment and online forwarding by highlighting the heterogeneous effects of positive and negative sentiments, thereby providing suggestions for forwarding function design.

The Effect of News Photo Sentiment on Stock Price Crash Risk Based on Deep Learning Models

The Effect of News Photo Sentiment on Stock Price Crash Risk Based on Deep Learning Models