Investor sentiment affects the trading volume: An evidence from network forums text analysis

By conducting a word frequency statistics in the posing on Eastmoney forum bar about SSE Composite Index from January 7, 2010 to August 30, 2013, we establish a set of keyword dictionary to measure investor sentiment effectively, and accordingly to study the mutual relations between the abnormal investor sentiment based on the network forums and the abnormal trading volume in the trading market. The empirical results show that investor sentiment of the trading day is positive correlated with abnormal trading volume of the trading day. The abnormal investor sentiment of the previous trading day is negative correlated with abnormal trading volume of the next trading day. We also take the weekly data into consideration and find that there is no significant correlation between abnormal investor sentiment and market abnormal trading volume during the same period, while investor sentiment of the previous week and abnormal trading volume of the next week are negatively correlated.