부산대학교 도서관

Nowadays, more and more investors share their investment opinions through the online financial community. This paper discusses the impact of users' opinions in online financial community on the market. We develop CNN classifier to analyze the opinions of users' reviews in Chinese most popular online financial community and use distributed lag model to analyze the impact of user opinions on the market. Our results show that users' support tendency can predict market volatility and returns, but its impact to market returns is negative. We also find that the market has responded before the comments are posted, user/retail investor in online financial community might be affected by the past several days' market performance.