琶洲金融论坛第110期预告：How do noise traders’ online talks move the stock market? Evidence of sentiment-induced  co-trading of different traders

    The impact of noise traders’ sentiment on market dynamics is an important issue related to asset pricing and behavioral finance. This study, delving beyond the confirmation of sentiment-induced return comovement, explores sentiment-induced co-trading activities of different traders. Employing a firm-level investor sentiment measure extracted from a stock forum in the Chinese stock market, and utilizing daily measures of small, large, and medium trade size-based firm-level buy-sell order imbalance (BSI) derived from trade and quota (TAQ) data, the study unveils the existence of sentiment-induced correlated trading and trading responses to noise traders’ sentiment changes under a non-overlap two-stage dynamic analysis. Notably, this phenomenon is observed not only among retail investors but also extends to institutional investors and wealthy individual investors, albeit in distinct manners. Our findings shed light on a novel investing style among institutional investors, tailored to firm-level noise traders’ sentiment changes. Furthermore, the research illuminates that different investor categories play varied roles in transmitting noise traders’ sentiment to stock prices. The correlated trading activities among these investors are contingent upon the associated noise trader risk. This investigation contributes novel empirical evidence that transcends conventional amalgamations of noise trader theory, rational expectations theory, and information response theoretical models.

        部慧，北京航空航天大学经济管理学院金融系主任，副教授、博士生导师。研究领域为实证资产定价、行为金融、风险管理、金融科技和监管科技。主持了5项国家自然科学基金项目（含国际会议1项），作为课题负责人主持“十四五”国家重点研发计划重点专项课题1项，作为副组长参与国家242课题和信息安全项目2项，主持或参与省部级和横向课题多项。在《管理科学学报》、International Journal of Forecasting, Economic Modelling, Financial Research Letters, Pacific-Basin Finance Journal, Energy Economics等发表40余篇学术论文，出版1部教材和2部专著，获得6项国家技术发明专利授权，多次获得会议优秀论文奖。相关研究成果产生了重要的社会影响：成功主导研发了四套金融监管系统服务监管和监察机构；参与“债券违约风险监测预警系统”基于新闻的信用风险评估模型研发，该风控模型服务金融机构；参与多个业界金融产品研发。多篇政策研究报告被中央两办和部委采纳，为我国金融监管政策提供了有力支撑。兼任3个学会专委会理事委员；兼任多个学术会议程序委员会成员；兼任国内外20余本期刊审稿人。兼任国家自然科学基金管理科学部函评专家以及多家单位的项目评审专家。