Measuring investor sentiment of China's growth enterprises market with ERNIE

Abstract

Investors will have different trading emotions in the process of stock market trading, which often affects investors' judgment on the stock market, which makes the issue of investor sentiment in the stock market particularly important. Compared with institutional investors who are dominant in the U.S. stock market, retail investors who are dominant in the Chinese stock market are more susceptible to stock market sentiment. The volatility of China's growth enterprise stock market, known as China's Nasdaq, is significantly stronger than that of the main board stock market. This paper is an analysis of investor sentiment in GEM based on the enhanced representation through Enhanced Representation through Knowledge Integration (ERNIE) model. The relationship between investor sentiment index and GEM Index return was analyzed through a semi-covariance method and regression model. The study argues that the proposed proxy could well reflect the investor sentiment of the GEM index and investor sentiment in online reviews had a significant impact on GEM index return.