Author(s)

Yuming Zhang, Ziyan Wang

Corresponding Author

Yuming Zhang

Abstract

This article uses the web crawler technology to crawl the GEM 50 index constituent stock reviews in East Money Stocks bar, and evaluated the stock comments by the software of sentiment analysis to construct the emotional factors. We added the emotion factor into the Fama-French five factor model to form a six factor model in order to explore the impact of investor sentiment on the stock price of the GEM. Through this study, we find that the current investor sentiment will impact the stock price of GEM. When the investor sentiment is high, the next day stock price usually performs well, while when the sentiment is low, the next day stock price does not perform well. As GEM investors tend to pursue high-risk stocks to seek high returns, market value effect and book to market ratio effect are common in GEM market. In view of this kind of risk, this paper puts forward corresponding suggestions.

Keywords

Investor sentiment; Fama-French five-factor model; Stock price change; GEM