Title: Micro-blog social moods and Chinese stock market: the influence of emotional valence and arousal on Shanghai Composite Index volume

Authors: Ying-hong Dong; Hao Chen; Wei-ning Qian; Ao-ying Zhou

Addresses: Department of Psychology, School of Educational Science, Ludong University, No. 186, Middle Hongqi Road, Yantai City, Shandong Province 264025, China ' Department of Social Psychology, Zhou Enlai School of Government, Nankai University, No. 94, Weijin Road, Tian Jin 300071, China ' Software Engineering Institute, East China Normal University, No. 500, Dongchuan Road, Shang Hai 200241, China ' Software Engineering Institute, East China Normal University, No. 500, Dongchuan Road, Shang Hai 200241, China

Abstract: Previous psychological researches prove that emotion is of importance in individual risk decision making. So could the public emotion (social moods) influence the collective risk decision making such as the stock market? We obtained the five basic social moods including happiness, sadness, fear, anger and disgust by analysing the text content of daily Sina Weibo using our emotion lexicon. Then we investigated the correlation between the daily social moods and Shanghai Composite Index volume by means of Granger causality analysis and linear regression model. We found sadness can significantly improve the predictive accuracy of the trading volume by 2.4% and reduce the MAPE by 8. The analyses for the five social moods indicated the arousal of sadness is the lowest, and the lowest 25% terms of sadness can predict the total trading amounts of SSEC too. The result indicated the negative emotion with lower arousal can improve the tendency of risk taking, which confirms emotional maintenance hypothesis in psychological discipline.

Keywords: microblogging; social moods; emotion lexicon; SSEC; happiness; sadness; fear; anger; disgust; arousal; risk decision making; Granger causality analysis; linear regression modelling; emotional maintenance hypothesis; China; stock markets; public emotion; predictive accuracy; trading volumes; risk taking.

DOI: 10.1504/IJES.2015.069987

International Journal of Embedded Systems, 2015 Vol.7 No.2, pp.148 - 155

Received: 17 Apr 2014
Accepted: 01 May 2014
Published online: 22 Jun 2015 *

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