volatility. Finally, we show that trading volume will be higher when textual sentiment is unusually high or low and when there …This paper develops textual sentiment measures for China's stock market by extracting the textual tone of 60 million … messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both …

Keyword-based measures purporting to reflect investor sentiment, attention or uncertainty have been increasingly used … correlated with uncertainty measures in differences, implying that GST reflect an uncertainty narrative. Returns and volatility … volatility both in-sample and out-of-sample. Our study contributes to the understanding of the information reflected by GST …