Investor sentiment and the Chinese index futures market: Evidence from the internet search
利用百度搜索量指数揭示中国股指期货市场中的投资者情绪，发现异常搜索量可预测短期收益反转，且个人电脑搜索的影响大于移动设备，同时期货交易限制改变了这一关系。
We use the search volume index in Baidu to reveal investor sentiment in the Chinese stock index futures market. We find that the abnormal search volume index predicts return reversal in the short term where the effect is mainly caused by the searches of investors who use personal computers rather than mobile devices. We also find that restriction on futures trading changes the relation between the abnormal search volume index and returns significantly. Overall, we provide a new set of results on the effects of investor sentiment on Chinese index futures markets.