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Sentiment Index of China's Stock Market and its Causal Effect on Stock Indices
sentiment-index-chinese-stock-market's Introduction
Sentiment Index of China's Stock Market and its Causal Effect on Stock Indices
- My undergraduate thesis at FCU in 2019
- Coauthor: Elizier Wang
A brief overview of this project
- Scrape 489870 posts (about 2 years) from a Chinese stock forum
- Conduct sentiment analysis on each post using Naive Bayes Model
- Calculate daily sentiment index by averaging scores of posts
- Break down the daily sentiment index using Empirical mode decomposition (EMD)
- Determine the causal effect of sentiment index on stock indices using difference-in-difference (DID)
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