Xiaojun Chu and Yating Gu
This paper aims to enhance the predictability of stock returns. Existing studies have used investor sentiment to forecast stock returns. However, it is unclear whether…
Abstract
Purpose
This paper aims to enhance the predictability of stock returns. Existing studies have used investor sentiment to forecast stock returns. However, it is unclear whether high-frequency intraday investor sentiment can enhance the forecasting performance of low-frequency stock returns.
Design/methodology/approach
Thus, we employ the MIDAS model and the high-frequency intraday sentiment extracted from the Internet stock forum to forecast Chinese A-shares returns at daily frequency.
Findings
The results illustrate that high-frequency sentiment data are better than daily sentiment data in predicting daily stock returns, and the sentiment in non-trading hours has been proved superior to those in trading hours.
Originality/value
First, our study adds to the growing literature on investor sentiment. We are the first to construct a proxy for high-frequency investor sentiment using intraday postings collected from Chinese Internet stock forum. Second, we confirm that sentiment in non-trading hours has a stronger predictive ability than those in trading hours. Third, we also contribute to the performance comparison of MIDAS-class models. The good performance of U-MIDAS is confirmed in our empirical applications.
Details
Keywords
Xiaoqin Liu, Zhibin Lin, Xiaohui Li and Cuiying Liang
This study aims to investigate how long commutes negatively affect employees’ creative deviance at work, exploring the mediating role that impaired work–life balance plays in…
Abstract
Purpose
This study aims to investigate how long commutes negatively affect employees’ creative deviance at work, exploring the mediating role that impaired work–life balance plays in linking commute to restricted creative deviance, as well as examining whether access to flexible work arrangements can alleviate commuting’s detrimental indirect effects.
Design/methodology/approach
This study employed a three-wave survey methodology conducted over monthly intervals with 246 participants in China’s Pearl River Delta region. Rigorous screening ensured a demographically diverse sample.
Findings
Commuting time negatively affects creative deviance, both directly and indirectly through work–life balance. Flexible work arrangements mitigate the adverse effects of long commutes on work–life balance, subsequently weakening the indirect effect of commuting time on creative deviance through work–life balance.
Practical implications
A holistic approach is suggested for organizations aiming to foster a supportive and ethical work environment, which involves a combination of organizational policies, leadership practices and individual actions to promote both creativity and employee welfare.
Originality/value
This research breaks new ground by identifying commuting time as a key factor influencing creative deviance in the workplace, mediated by work–life balance. It integrates transportation research with organizational behavior, applying an ethics of care perspective to challenge traditional paradigms. The study’s interdisciplinary approach, bridging multiple fields, provides a novel, holistic view of how non-work factors impact workplace innovation.