Proceedings of The 2nd International Conference on Management, Economics, and Finance
The impact of investors’ sentiment divergence on stock market efficiency
Vincenzo Farina and Gianluca Palma
This paper focuses on the relation between divergence of sentiment and stock market efficiency. Analysing 960,808 economics blogs’ posts during a 5-years time period (from March 1, 2008, to August 31, 2013), we construct two Economics Blogs Sentiment Divergence (EBSD) indices. Our findings confirm the importance of investors’ opinion divergence in the stock market. In particular, we find a negative relation between divergence of blogs sentiment and stock market efficiency.
Keywords: Economics blogs; Divergence of opinion; Investor sentiment; Text analysis; Stock market efficiency.