A time-varying study of Chinese investor sentiment, stock market liquidity and volatility: Based on deep learning BERT model and TVP-VAR model. (arXiv:2205.05719v1 [q-fin.CP])

Web: http://arxiv.org/abs/2205.05719

Based on the commentary data of the Shenzhen Stock Index bar on the EastMoney
website from January 1, 2018 to December 31, 2019. This paper extracts the
embedded investor sentiment by using a deep learning BERT model and
investigates the time-varying linkage between investment sentiment, stock
market liquidity and volatility using a TVP-VAR model. The results show that
the impact of investor sentiment on stock market liquidity and volatility is
stronger. Although the inverse effect is relatively small, it is …

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