Yang Gao

Purpose: This study aims to explore the risk spillover effects among different sectors of the Chinese stock market after the outbreak of COVID-19 from both Internet sentiment and price fluctuations.Design/methodology/approach: The authors develop four indicators used for risk contagion analysis, including Internet investors and news sentiments constructed by the FinBERT model, together with realized and jump volatilities yielded by high-frequency data. The authors also apply the time-varying parameter vector autoregressive (TVP-VAR) model-based and the tail-based connectedness framework to investigate the interdependence of tail risk during catastrophic events.Findings: The empirical analysis provides meaningful results related to the COVID-19 pandemic, stock market conditions and tail behavior. The results show that after the outbreak of COVID-19, the connectivity between risk spillovers in China's stock market has grown, indicating the increased instability of the connected system and enhanced connectivity in the tail. The changes in network structure during COVID-19 pandemic are not only reflected by the increased spillover connectivity but also by the closer relationships between some industries. The authors also found that major public events could significantly impact total connectedness. In addition, spillovers and network structures vary with market conditions and tend to exhibit a highly connected network structure during extreme market status.Originality/value: The results confirm the connectivity between sentiments and volatilities spillovers in China's stock market, especially in the tails. The conclusion further expands the practical application and theoretical framework of behavioral finance and also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management across stock sectors.

The effect of investor sentiment on stock volatility is a highly attractive research question in both the academic field and the real financial industry. With the proposal of China's "dual carbon" target, green stocks have gradually become an essential branch of Chinese stock markets. Focusing on 106 stocks from the new energy, environmental protection, and carbon–neutral sectors, we construct two investor sentiment proxies using Internet text and stock trading data, respectively. The Internet sentiment is based on posts from Eastmoney Guba, and the trading sentiment comes from a variety of trading indicators. In addition, we divide the realized volatility into continuous and jump parts, and then investigate the effects of investor sentiment on different types of volatilities. Our empirical findings show that both sentiment indices impose significant positive impacts on realized, continuous, and jump volatilities, where trading sentiment is the main factor. We further explore the mediating effect of information asymmetry, measured by the volume-synchronized probability of informed trading (VPIN), on the path of investor sentiment affecting stock volatility. It is evidenced that investor sentiments are positively correlated with the VPIN, and they can affect volatilities through the VPIN. We then divide the total sample around the coronavirus disease 2019 (COVID-19) pandemic. The empirical results reveal that the market volatility after the COVID-19 pandemic is more susceptible to investor sentiments, especially to Internet sentiment. Our study is of great significance for maintaining the stability of green stock markets and reducing market volatility.

Although social media has highly facilitated people’s daily communication and dissemination of information, it has unfortunately been an ideal hotbed for the breeding and dissemination of Internet rumors. Therefore, automatically monitoring rumor dissemination in the early stage is of great practical significance. However, the existing detection methods fail to take full advantage of the semantics of the microblog information propagation graph. To address this shortcoming, this study models the information transmission network of a microblog as a heterogeneous graph with a variety of semantic information and then constructs a Microblog-HAN, which is a graph-based rumor detection model, to capture and aggregate the semantic information using attention layers. Specifically, after the initial textual and visual features of posts are extracted, the node-level attention mechanism combines neighbors of the microblog nodes to generate three groups of node embeddings with specific semantics. Moreover, semantic-level attention fuses different semantics to obtain the final node embedding of the microblog, which is then used as a classifier’s input. Finally, the classification results of whether the microblog is a rumor or not are obtained. The experimental results on two real-world microblog rumor datasets, Weibo2016 and Weibo2021, demonstrate that the proposed Microblog-HAN can detect microblog rumors with an accuracy of over 92%, demonstrating its superiority over the most existing methods in identifying rumors from the view of the whole information transmission graph.

To avoid the effects of systemic financial risks caused by extreme fluctuations in housing price, the Chinese government has been exploring the most effective policies for regulating the housing market. Measuring the effect of real estate regulation policies has been a challenge for present studies. This study innovatively employs big data technology to obtain Internet search data (ISD) and construct market concern index (MCI) of policy, and hedonic price theory to construct hedonic price index (HPI) based on building area, age, ring number, and other hedonic variables. Then, the impact of market concerns for restrictive policy, monetary policy, fiscal policy, security policy, and administrative supervision policy on housing prices is evaluated. Moreover, compared with the common housing price index, the hedonic price index considers the heterogeneity of houses and could better reflect the changes in housing prices caused by market supply and demand. The results indicate that (1) a long-term interaction relationship exists between housing prices and market concerns for policy (MCP); (2) market concerns for restrictive policy and administrative supervision policy effectively restrain rising housing prices while those for monetary and fiscal policy have the opposite effect. The results could serve as a useful reference for governments aiming to stabilize their real estate markets.

Purpose: This paper aims to explore the interaction between investor attention and green security markets, including green bonds and stocks.Design/methodology/approach: This study takes the Baidu index of “green finance” as the proxy for investor attention and constructs several generalized prediction error variance decomposition models to investigate the interdependence. It further analyzes the dynamic interaction between investor attention and the return and volatility of green security markets using the rolling time window.Findings: The empirical analysis and robustness test results reveal that the spillovers between investor attention and the return and volatility of the green bond market are relatively stable. In contrast, the spillover level between investor attention and the green stock market displays significant time-varying and asymmetric effects. Moreover, the volatility spillover between investor attention and green securities is vulnerable to major financial events, while the return spillover is extremely sensitive to market performance.Originality/value: The conclusion further expands the practical application and theoretical framework of behavioral finance in green finance and provides a new reference for investors and regulators. Besides, this study also lays a theoretical basis for investors to focus on the practical application of volatility prediction and risk management in green securities.

For each industry in the era of big data, a steady stream of data is generated continually. Due to the enormous information contained in big data, how to maximally extract the value from big data with lower cost to provide decision-making, guide production and resource allocation for the enterprises has attracted more and more attention of most enterprises. This paper proposes a data analysis solution in the era of big data–data factory, and implements a software system to build a data factory for an enterprise promptly and efficiently. By processing, analyzing and modeling the data in a workshop-based production mode similar to the traditional factories using raw materials, our data factory will acquire the analysis results and prediction models and then realize the clustering, classification, evaluation, and prediction data analysis. Moreover, the application of deploying data factory for an enterprise reveals that data factory is an efficient solution for big data analysis, and it improves the efficiency of enterprise data analysis.

The optimization of the financial industrial structure (FIS) is one of the critical approaches to promote economic development under the new normal. Using the panel data of 30 provinces and cities except for Tibet from 2007 to 2016, this study analyzes the optimization objective of the FIS and establishes an optimization model of the FIS based on the economic development multi-objectives. Then several multi-objective evolutionary optimization algorithms are applied to solve the optimal FIS, and a possible research direction for the optimization of the multi-objective financial structure is provided. The result is of great significance for the theoretical and practical studies of financial structure optimization.

The purpose of this paper is to provide an effective solution method for the truck and trailer routing problem (TTRP) which is one of the important NP-hard combinatorial optimization problems due to its multiple real-world applications. It is a generalization of the famous vehicle routing problem (VRP), involving a group of geographically scattered customers served by the vehicle fleet including trucks and trailers. The meta-heuristic solution approach based on bat algorithm (BA) in which a local search procedure performed by five different neighborhood structures is developed. Moreover, a self-adaptive (SA) tuning strategy to preserve the swarm diversity is implemented. The effectiveness of the proposed SA-BA is investigated by an experiment conducted on 21 benchmark problems that are well known in the literature. Computational results indicate that the proposed SA-BA algorithm is computationally efficient through comparison with other existing algorithms found from the literature according to solution quality. As for the actual computational time, the SA-BA algorithm outperforms the others. However the scaled computational time of SA-BA algorithm underperforms the other algorithms. In this work the authors show that the proposed SA-BA is effective as a method for the TTRP problem. To our knowledge, the bat algorithm has not been earlier applied, as in this work, to solve the TTRP problem.