Daily investor sentiment, order flow imbalance and stock liquidity: evidence from the Chinese stock market
利用大数据挖掘技术从股票论坛文本构建每日投资者情绪指标，发现情绪正向影响流动性，且订单流不平衡是中介渠道，该效应在熊市、高账面市值比、大规模、低风险及监管宽松时更强。
Abstract We examine whether and how investor sentiment affects stock liquidity in the Chinese stock market. Utilizing big data mining techniques, we excavate posted texts of a large stock forum and devise daily investor sentiment indicators. While examining the relationship between investor sentiment and stock liquidity, we also test whether order flow imbalance, attributed to investor sentiment, is the channel where investor sentiment delivers its impact on stock liquidity. We find that investor sentiment correlates positively with stock liquidity, and order flow imbalance is proven as an intermediary in this process. This positive correlation is stronger in a bear market than in a bull one. Additionally, liquidity sensitivity is higher for firms with higher book‐to‐market ratio, larger size and lower risk. When the market is less regulated, such as relaxed short‐selling restrictions, liquidity sensitivity also rises.