Can extracted sentimental features from stock forum account for the stock return?

This paper provides novel evidences for the link between stock return and sentiment of investors. Firstly, an efficient method is employed to improve the accuracy of sentiment polarity classification at the level of paragraphs for Chinese online reviews. Next, we choose Bull Index (BI), Difference Index of Sentiment (DIS) and turnover (TR) as indicators of sentiment indexes and we select stock return (Re) and trade volume (TV) as variables of stock indexes. Then, multiple liner regression and VAR model are used to discover the relationship between sentiment indexes and stock indexes. The results show that grouped sentiment indexes can significant forecast stock indexes than single explanatory variable. Besides that, both BI and DIS have mutual granger cause relationship with Re and BI is the granger cause of TV.