Opinion divergence, investor sentiment, and stock liquidity: Evidence from social media

This paper developed a mediating effect model of retail opinion divergence, investor sentiment, and stock liquidity to investigate how investor comments and bullish-bearish-polling activities on social media affect investors' attitudes and behaviours, thus, the stock market. The paper first used the Python programming language to scrape the bullish-bearish-polling outcomes for each stock and developed an investor opinion divergence index. Next, the study collected online investor comments, from which an online investor sentiment index was developed through machine-learning-based ways. The analysis results show that both investor sentiment and retail opinion divergence significantly impact stock liquidity, and investor sentiment plays a mediating role in it.