Federal Reserve Communications and Chinese Investor Sentiment
This paper employs dictionary methods and large language models to measure the Federal Reserve's commu-nications and the sentiment of Chinese investors,and analyzes the impact of the Federal Reserve's communications on Chinese investor sentiment.The results show that there is a significant positive correlation between the Federal Reserve's communications and the sentiment of Chinese investors,with negative and strong/weak words having a relatively stronger impact on investor sentiment.Only negative words exhibit a significant underreaction bias in their impact on investor sen-timent,while most words have an expected effect on investor sentiment with significant heterogeneity.The impact of the Federal Reserve's communications on Chinese investor sentiment is asymmetrical,with the marginal effect of positive changes being stronger than that of negative changes.Negative words can increase the intraday volatility of investor senti-ment in the short term,but their long-term impact gradually disappears.
Federal Reserve communicationinvestor sentimenttext analysiscorrelation patterninfluential effect
NETL
NSTL
万方数据
