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Official media sentiments toward energy and equity returns: Evidence from China

Author

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  • Hua, Xia
  • Dong, Dairui
  • Xu, Zhiwei
  • Huang, Wentao

Abstract

In this study, we constructs a set of novel sentiment indices derived from energy-related articles published by leading official media outlets in China using multiple machine learning techniques. Our results show that these official media sentiment indices consistently and significantly predict returns of both the China Securities Index (CSI) Energy Index and the Energy Exchange-Traded Fund (ETF). Furthermore, we find that official media sentiment conveys fundamental energy-related information not yet reflected in asset prices. Based on these return patterns, we design several trading strategies and show that they generate substantial economic value for both equity-focused and mean-variance investors. Overall, the findings underscore the influential role of official media as a channel for government and policymakers voices in shaping equity returns in China's energy sector.

Suggested Citation

  • Hua, Xia & Dong, Dairui & Xu, Zhiwei & Huang, Wentao, 2025. "Official media sentiments toward energy and equity returns: Evidence from China," Energy, Elsevier, vol. 340(C).
    • Handle: RePEc:eee:energy:v:340:y:2025:i:c:s0360544225047681
    DOI: 10.1016/j.energy.2025.139126
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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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