Research On The Effect Of Investor Disagreement On Stock Intraday Return

The objective existence of information asymmetry and the fluctuation of investor sentiment are two typical characteristics of the stock market.The development of the Internet makes the impact of investor disagreement caused by information asymmetry on the stock market increasingly prominent.Earning returns is the most important purpose for investors to participate in trading.Although there have been numerous studies on the impact of investor sentiment and stock return in recent years,there has been little attention paid to the relationship between investor disagreement and stock return.On the other hand,due to the limitation of data size and characteristics,the existing researches still have deficiencies in mining the characteristics of intraday volatility of the stock market.Therefore,based on the existing conclusions on the relationship between investor sentiment and stock return rate,as well as intra-day high-frequency network public opinion and trading data,this thesis further analyzes the relationship between investor sentiment and stock return rate from the perspective of investor disagreement.In order to clarify the mechanism of investor disagreement in the stock market and enhance market risk prediction,it is not only helpful to promote the high-quality development of Chinese stock market,but also has important significance for protecting individual investors and maintaining the stability of financial market.Based on data mining technology,this thesis uses the online public opinion data of investors in the stock bar of Oriental Wealth Net to measure the investor disagreement,and selects the component stocks of the CSI 300 Index in 2021 as the research object to explore the relationship between the investor disagreement and stock returns under different types of investors,different industries and extreme market conditions.The findings are as follows: First,investor disagreement reflect their different expectations of market trends,leading them to choose different trading strategies,and thus have an impact on stock volume and return.Secondly,investors are divided into high-impact investors and low-impact investors through the difference of influence levels in online forums,and it is found that the impact of their emotional differences on the intraday return of stocks is different.Third,stocks of various industries have different characteristics,among which the intra-day return of non-financial stocks is more significantly affected by investor disagreement;Fourthly,by dividing the stock market into periods of high and low panic,it is found that even high-impact investors with information advantage have no significant impact on the stock return in periods of high panic.Finally,in order to test the robustness of the empirical research results,this thesis further tested the conclusions from four perspectives: adjusting the scoring threshold of online public opinion sentiment,adjusting the intra-day time interval,analyzing the highly discussed stocks separately and changing the volatility index algorithm.At the same time,based on the research conclusions,this thesis respectively gives reference suggestions to the network platform,market supervision departments and individual investors.There are 3 figures,24 tables,and 102 references in this thesis...