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Sentiment Index of China's Stock Market and its Causal Effect on Stock Indices

  • My undergraduate thesis at FCU in 2019
  • Coauthor: Elizier Wang

A brief overview of this project

  • Scrape 489870 posts (about 2 years) from a Chinese stock forum
  • Conduct sentiment analysis on each post using Naive Bayes Model
  • Calculate daily sentiment index by averaging scores of posts
  • Break down the daily sentiment index using Empirical mode decomposition (EMD)
  • Determine the causal effect of sentiment index on stock indices using difference-in-difference (DID)