From Shanghai to Wall Street: The Influence of Chinese News Sentiment on US Stocks

IF 1.7 3区经济学 Q3 BUSINESS, FINANCE Journal of Behavioral Finance Pub Date : 2023-10-17 DOI:10.1080/15427560.2023.2270100

Kingstone Nyakurukwa, Yudhvir Seetharam

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Abstract

AbstractThis study explores the influence of Chinese news sentiment on US stocks, focusing on the potential policy shift granting Chinese retail traders direct access to US markets. Analyzing the flow of information between Chinese news sentiment and global news sentiment using transfer entropy, the findings reveal a significant influence of Chinese news sentiment on global news sentiment. Moreover, the study identifies a predominant unidirectional flow of information from news sentiment to stock returns, with Chinese news sentiment having a more substantial impact on future returns of US stocks compared to global news sentiment. This suggests that if the proposed policy changes succeed, Chinese retail traders may rely on Chinese news sentiment, potentially leading to increased volatility in the US market. Policymakers and market participants should be aware of these implications to prepare for changes in the US stock market dynamics. Further research can provide deeper insights into the interplay between news sentiment, investor behavior, and market volatility.Keywords: Behavioral financeinvestor sentimentretail investorstextual analysisinformation flow Disclosure statementNo potential conflict of interest was reported by the authors.Notes1 https://www.scmp.com/news/china/money-wealth/article/3126504/if-chinese-traders-enter-us-markets-they-may-bring2 A full list of the stocks is included as Table A3 in the Appendix.

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从上海到华尔街:中国新闻情绪对美股的影响

摘要本研究探讨了中国新闻情绪对美国股市的影响，重点关注允许中国散户直接进入美国市场的潜在政策转变。利用传递熵分析中国新闻情绪与全球新闻情绪之间的信息流，发现中国新闻情绪对全球新闻情绪有显著影响。此外，该研究发现，从新闻情绪到股票回报的信息单向流动占主导地位，与全球新闻情绪相比，中国新闻情绪对美国股票未来回报的影响更大。这表明，如果拟议的政策变化成功，中国散户交易者可能会依赖中国的新闻情绪，这可能会导致美国市场的波动性增加。政策制定者和市场参与者应该意识到这些影响，为美国股市动态的变化做好准备。进一步的研究可以更深入地了解新闻情绪、投资者行为和市场波动之间的相互作用。关键词:行为金融学;投资者情绪;散户投资者;文本分析;信息流;注1 https://www.scmp.com/news/china/money-wealth/article/3126504/if-chinese-traders-enter-us-markets-they-may-bring2股票的完整清单载于附录的表A3。

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来源期刊

Journal of Behavioral Finance Multiple-

CiteScore

4.60

自引率

10.50%

发文量

期刊介绍： In Journal of Behavioral Finance , leaders in many fields are brought together to address the implications of current work on individual and group emotion, cognition, and action for the behavior of investment markets. They include specialists in personality, social, and clinical psychology; psychiatry; organizational behavior; accounting; marketing; sociology; anthropology; behavioral economics; finance; and the multidisciplinary study of judgment and decision making. The journal will foster debate among groups who have keen insights into the behavioral patterns of markets but have not historically published in the more traditional financial and economic journals. Further, it will stimulate new interdisciplinary research and theory that will build a body of knowledge about the psychological influences on investment market fluctuations. The most obvious benefit will be a new understanding of investment markets that can greatly improve investment decision making. Another benefit will be the opportunity for behavioral scientists to expand the scope of their studies via the use of the enormous databases that document behavior in investment markets.