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Mathematical Problems in Engineering
Volume 2017, Article ID 2407086, 11 pages
Research Article

Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market

1College of Business Administration, Hunan University, Changsha 410082, China
2Center of Finance and Investment Management, Hunan University, Changsha 410082, China

Correspondence should be addressed to Chi Xie; nc.ude.unh@ihceix

Received 22 April 2016; Accepted 19 December 2016; Published 15 January 2017

Academic Editor: Shaoyi He

Copyright © 2017 Chi Xie and Yuanxia Wang. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


With the quick development of the Internet, online platforms that provide financial news and opinions have attracted more and more attention from investors. The question whether investor sentiment expressed on the Internet platforms has an impact on asset return has not been fully addressed. To this end, this paper uses the Baidu Searching Index as the agent variable to detect the effect of online investor sentiment on the asset price movement in the Chinese stock market. The empirical study shows that although there is a cointegration relationship between online investor sentiment and asset return, the sentiment has a poor ability to predict the price, return, and volatility of asset price. Meanwhile, the structural break points of online investor sentiment do not lead to changes in the asset price movement. Based on the empirical mode decomposition of online investor sentiment, we find that high frequency components of online investor sentiment can be used to predict the asset price movement. Thus, the obtained results could be useful for risk supervision and asset portfolio management.