Market fluctuations caused by overtrading are important components of systemic market risk. This study examines the effect of investor sentiment on intraday overtrading activities in the Chinese A-share market. Employing high-frequency sentiment indices inferred from social media posts on the Eastmoney forum Guba, the research focuses on constituents of the CSI 300 and CSI 500 indices over a period from 01/01/2018, to 12/30/2022. The empirical analysis indicates that investor sentiment exerts a significantly positive impact on intraday overtrading, with the influence being more pronounced among institutional investors relative to individual traders. Moreover, sentiment-driven overtrading is found to be more prevalent during bull markets as opposed to bear markets. Additionally, the effect of sentiment on overtrading is observed to be more pronounced among individual investors in large-cap stocks compared to small- and mid-cap stocks.

翻译：由过度交易引发的市场波动是系统性市场风险的重要组成部分。本研究考察了投资者情绪对中国A股市场日内过度交易行为的影响。通过采用从东方财富论坛"股吧"社交媒体帖子中推断出的高频情绪指标，研究聚焦于2018年1月1日至2022年12月30日期间沪深300指数和中证500指数成分股。实证分析表明，投资者情绪对日内过度交易具有显著的正向影响，且该影响在机构投资者中较个人投资者更为突出。此外，情绪驱动的过度交易在牛市行情中比熊市行情中更为普遍。同时研究发现，在大盘股中，投资者情绪对过度交易的影响在小盘股和中盘股中更为显著。