Dehua Shen
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Affiliations
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Nankai University
/ School of Finance
Research profile
author of:
- Forecasting the volatility of Bitcoin: The importance of jumps and structural breaks (RePEc:bla:eufman:v:26:y:2020:i:5:p:1294-1323)
by Dehua Shen & Andrew Urquhart & Pengfei Wang - Twitter’s daily happiness sentiment and international stock returns: Evidence from linear and nonlinear causality tests (RePEc:eee:beexfi:v:18:y:2018:i:c:p:50-53)
by Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua - Return volatility and trading volume of GameFi (RePEc:eee:beexfi:v:43:y:2024:i:c:s2214635024000704)
by Shi, Guiqiang & Goodell, John W. & Shen, Dehua - Open source information, investor attention, and asset pricing (RePEc:eee:ecmode:v:33:y:2013:i:c:p:613-619)
by Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong - R2 and idiosyncratic volatility: Which captures the firm-specific return variation? (RePEc:eee:ecmode:v:55:y:2016:i:c:p:298-304)
by Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea - Market reaction to internet news: Information diffusion and price pressure (RePEc:eee:ecmode:v:56:y:2016:i:c:p:43-49)
by Zhang, Yongjie & Song, Weixin & Shen, Dehua & Zhang, Wei - Daily happiness and stock returns: The case of Chinese company listed in the United States (RePEc:eee:ecmode:v:64:y:2017:i:c:p:496-501)
by Li, Xiao & Shen, Dehua & Xue, Mei & Zhang, Wei - Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis (RePEc:eee:ecmode:v:69:y:2018:i:c:p:127-133)
by Shen, Dehua & Li, Xiao & Zhang, Wei - Does twitter predict Bitcoin? (RePEc:eee:ecolet:v:174:y:2019:i:c:p:118-122)
by Shen, Dehua & Urquhart, Andrew & Wang, Pengfei - Do analyst recommendations matter for rival companies? (RePEc:eee:finana:v:65:y:2019:i:c:s1057521919300675)
by Li, Yi & Shen, Dehua & Wang, Pengfei & Zhang, Wei - Stock mispricing, hard-to-value stocks and the influence of internet stock message boards (RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302209)
by Xiong, Xiong & Meng, Yongqiang & Joseph, Nathan Lael & Shen, Dehua - Investor attention shocks and stock co-movement: Substitution or reinforcement? (RePEc:eee:finana:v:73:y:2021:i:c:s105752192030260x)
by Hu, Yitong & Li, Xiao & Goodell, John W. & Shen, Dehua - Information demand density matters: Evidence from the post-earnings announcement drift (RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000042)
by Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie - Do online message boards convey cryptocurrency-specific information? (RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004660)
by Shen, Dehua & Tong, Zezheng & Goodell, John W. - Herding towards carbon neutrality: The role of investor attention (RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005653)
by Shi, Guiqiang & Shen, Dehua & Zhu, Zhaobo - Media opinion divergence and stock returns: Evidence from China (RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000723)
by Zhang, Zuochao & Goodell, John W. & Shen, Dehua & Lahmar, Oumaima - Baidu news coverage and its impacts on order imbalance and large-size trade of Chinese stocks (RePEc:eee:finlet:v:23:y:2017:i:c:p:210-216)
by Shen, Dehua & Li, Xiao & Zhang, Wei - Is cryptocurrency a hedge or a safe haven for international indices? A comprehensive and dynamic perspective (RePEc:eee:finlet:v:31:y:2019:i:c:p:1-18)
by Wang, Pengfei & Zhang, Wei & Li, Xiao & Shen, Dehua - An empirical analysis of the Adaptive Market Hypothesis with calendar effects:Evidence from China (RePEc:eee:finlet:v:31:y:2019:i:c:s1544612318307785)
by Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua - A three-factor pricing model for cryptocurrencies (RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319304519)
by Shen, Dehua & Urquhart, Andrew & Wang, Pengfei - Does intraday time-series momentum exist in Chinese stock index futures market? (RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319304337)
by Li, Yi & Shen, Dehua & Wang, Pengfei & Zhang, Wei - The role of investor attention in predicting stock prices: The long short-term memory networks perspective (RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319310943)
by Zhang, Yongjie & Chu, Gang & Shen, Dehua - US partisan conflict and high-yield exchange rates (RePEc:eee:finlet:v:40:y:2021:i:c:s1544612320315993)
by Jia, Boxiang & Goodell, John W. & Shen, Dehua - Momentum or reversal: Which is the appropriate third factor for cryptocurrencies? (RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002208)
by Jia, Boxiang & Goodell, John W. & Shen, Dehua - ESG rating and stock price crash risk: Evidence from China (RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004566)
by Feng, Jingwen & Goodell, John W. & Shen, Dehua - Aggregate Investor Attention and Bitcoin Return: The Long Short-term Memory Networks Perspective (RePEc:eee:finlet:v:49:y:2022:i:c:s154461232200366x)
by Wang, Chen & Shen, Dehua & Li, Youwei - Assessing causal relationships between cryptocurrencies and investor attention: New results from transfer entropy methodology (RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322005293)
by Tong, Zezheng & Goodell, John W. & Shen, Dehua - Information shocks and investor underreaction: Evidence from the Bitcoin market (RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004816)
by Meng, Yongqiang & Goodell, John W. & Shen, Dehua - The road less travelled: GameFi as a hedge or a safe haven for international indices (RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005755)
by Bo, Congcong & Shen, Dehua - Market reaction to climate risk report disclosures: The roles of investor attention and sentiment (RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006621)
by Li, Yue & Goodell, John W. & Shen, Dehua - Investor attention and GameFi returns: A transfer entropy analysis (RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000771)
by Shi, Guiqiang & Goodell, John W. & Shen, Dehua - Internet stock message boards and the price–volume relationship: Registered users vs non-registered users (RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000941)
by Zhang, Zuochao & Shen, Dehua - Not all the news fitting to reprint: Evidence from price-volume relationship (RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001582)
by Zhang, Zuochao & Shen, Dehua - Spillover effects according to classification of cryptocurrency (RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324006597)
by Zhao, Yingxiu & Goodell, John W. & Shen, Dehua - Can overnight return really serve as a proxy for firm-specific investor sentiment? Cross-country evidence (RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119304822)
by Xiong, Xiong & Meng, Yongqiang & Li, Xiao & Shen, Dehua - Do Chinese internet stock message boards convey firm-specific information? (RePEc:eee:pacfin:v:49:y:2018:i:c:p:1-14)
by Li, Xiao & Shen, Dehua & Zhang, Wei - Tail risks, firm characteristics, and stock returns (RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001494)
by Wang, Chen & Xiong, Xiong & Shen, Dehua - Internet information arrival and volatility of SME PRICE INDEX (RePEc:eee:phsmap:v:399:y:2014:i:c:p:70-74)
by Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei - Network interdependency between social media and stock trading activities: Evidence from China (RePEc:eee:phsmap:v:451:y:2016:i:c:p:305-312)
by Lin, Shen & Ren, Da & Zhang, Wei & Zhang, Yongjie & Shen, Dehua - Trading and non-trading period Internet information flow and intraday return volatility (RePEc:eee:phsmap:v:451:y:2016:i:c:p:519-524)
by Shen, Dehua & Zhang, Wei & Xiong, Xiong & Li, Xiao & Zhang, Yongjie - Has microblogging changed stock market behavior? Evidence from China (RePEc:eee:phsmap:v:452:y:2016:i:c:p:151-156)
by Jin, Xi & Shen, Dehua & Zhang, Wei - Daily happiness and stock returns: Some international evidence (RePEc:eee:phsmap:v:460:y:2016:i:c:p:201-209)
by Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea - Investor sentiment and stock returns: Evidence from provincial TV audience rating in China (RePEc:eee:phsmap:v:466:y:2017:i:c:p:288-294)
by Zhang, Yongjie & Zhang, Yuzhao & Shen, Dehua & Zhang, Wei - Investor structure and the price–volume relationship in a continuous double auction market: An agent-based modeling perspective (RePEc:eee:phsmap:v:467:y:2017:i:c:p:345-355)
by Zhang, Wei & Bi, Zhengzheng & Shen, Dehua - Does microblogging convey firm-specific information? Evidence from China (RePEc:eee:phsmap:v:482:y:2017:i:c:p:621-626)
by Shen, Dehua & Li, Xiao & Xue, Mei & Zhang, Wei - The interaction of financial news between mass media and new media: Evidence from news on Chinese stock market (RePEc:eee:phsmap:v:486:y:2017:i:c:p:535-541)
by Zhang, Yongjie & Zhang, Zuochao & Liu, Lanbiao & Shen, Dehua - Quantifying the cross-sectional relationship between online sentiment and the skewness of stock returns (RePEc:eee:phsmap:v:490:y:2018:i:c:p:928-934)
by Shen, Dehua & Liu, Lanbiao & Zhang, Yongjie - The time-varying correlation between policy uncertainty and stock returns: Evidence from China (RePEc:eee:phsmap:v:499:y:2018:i:c:p:413-419)
by Xiong, Xiong & Bian, Yuxiang & Shen, Dehua - Investor attention and performance of IPO firms: Evidence from online searches (RePEc:eee:phsmap:v:508:y:2018:i:c:p:342-348)
by Zhao, Ruwei & Xiong, Xiong & Shen, Dehua - The cross-correlations between online sentiment proxies: Evidence from Google Trends and Twitter (RePEc:eee:phsmap:v:508:y:2018:i:c:p:67-75)
by Zhang, Zuochao & Zhang, Yongjie & Shen, Dehua & Zhang, Wei - Quantifying the cross-correlations between online searches and Bitcoin market (RePEc:eee:phsmap:v:509:y:2018:i:c:p:657-672)
by Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua - The dynamic cross-correlations between foreign news, local news and stock returns (RePEc:eee:phsmap:v:509:y:2018:i:c:p:861-872)
by Zhang, Wei & Li, Yi & Zhang, Zuochao & Shen, Dehua - The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average (RePEc:eee:phsmap:v:510:y:2018:i:c:p:658-670)
by Zhang, Wei & Wang, Pengfei & Li, Xiao & Shen, Dehua - Stylized facts of the carbon emission market in China (RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303691)
by Yan, Kai & Zhang, Wei & Shen, Dehua - Does happiness forecast implied volatility? Evidence from nonparametric wave-based Granger causality testing (RePEc:eee:quaeco:v:81:y:2021:i:c:p:113-122)
by Li, Yue & W. Goodell, John & Shen, Dehua - Comparing search-engine and social-media attentions in finance research: Evidence from cryptocurrencies (RePEc:eee:reveco:v:75:y:2021:i:c:p:723-746)
by Li, Yue & Goodell, John W. & Shen, Dehua - Attention allocation and cryptocurrency return co-movement: Evidence from the stock market (RePEc:eee:reveco:v:88:y:2023:i:c:p:1173-1185)
by Hu, Yitong & Shen, Dehua & Urquhart, Andrew - Bitcoin market reactions to large price swings of international stock markets (RePEc:eee:reveco:v:90:y:2024:i:c:p:72-88)
by Jia, Boxiang & Shen, Dehua & Zhang, Wei - How does economic policy uncertainty affect the bitcoin market? (RePEc:eee:riibaf:v:53:y:2020:i:c:s0275531919308037)
by Wang, Pengfei & Li, Xiao & Shen, Dehua & Zhang, Wei - Attention allocation and international stock return comovement: Evidence from the Bitcoin market (RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920304992)
by Hu, Yitong & Li, Xiao & Shen, Dehua - Extreme sentiment and herding: Evidence from the cryptocurrency market (RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001568)
by Jia, Boxiang & Shen, Dehua & Zhang, Wei - When stock price crash risk meets fundamentals (RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001010)
by Meng, Yongqiang & Shen, Dehua & Xiong, Xiong - Dissecting the idiosyncratic volatility puzzle: A fundamental analysis approach (RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923002118)
by Zhu, Zhaobo & Ding, Wenjie & Jin, Yi & Shen, Dehua - Firm-specific new media sentiment and price synchronicity (RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000357)
by Zhang, Zuochao & Shen, Dehua - A Socio-Finance Model: The Case of Bitcoin (RePEc:hal:cesptp:halshs-03048777)
by Yongqiang Meng & Dehua Shen & Xiong Xiong & Jørgen Vitting Andersen - Dissecting the Idiosyncratic Volatility Puzzle: A Fundamental Analysis Approach (RePEc:hal:journl:hal-04194180)
by Zhaobo Zhu & Wenjie Ding & Yi Jin & Dehua Shen - Herding towards carbon neutrality: The role of investor attention (RePEc:hal:journl:hal-04348526)
by Guiqiang Shi & Dehua Shen & Zhaobo Zhu - A Socio-Finance Model: The Case of Bitcoin (RePEc:hal:journl:halshs-03048777)
by Yongqiang Meng & Dehua Shen & Xiong Xiong & Jørgen Vitting Andersen - The Dynamic Cross-Correlations between Mass Media News, New Media News, and Stock Returns (RePEc:hin:complx:7619494)
by Zuochao Zhang & Yongjie Zhang & Dehua Shen & Wei Zhang - Multifractal Detrended Cross-Correlation Analysis of the Return-Volume Relationship of Bitcoin Market (RePEc:hin:complx:8691420)
by Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen - Weibo Attention and Stock Market Performance: Some Empirical Evidence (RePEc:hin:complx:9571848)
by Minghua Dong & Xiong Xiong & Xiao Li & Dehua Shen - R2 and Idiosyncratic Volatility: Which Captures the Firm-specific Return Variation? (RePEc:jau:wpaper:2015/06)
by Wei Zhang & Xiao Li & Dehua Shen & Andrea Teglio - The impact of information-based familiarity on the stock market (RePEc:jau:wpaper:2016/08)
by Dehua Shen & Xiao Li & Andrea Teglio & Wei Zhang - Investor Sentiment and the Return Rate of P2P Lending Platform (RePEc:kap:apfinm:v:27:y:2020:i:1:d:10.1007_s10690-019-09284-2)
by Wei Zhang & Yingxiu Zhao & Pengfei Wang & Dehua Shen - The High-Volume Return Premium: Does it Really Exist in the Chinese Stock Market? (RePEc:kap:apfinm:v:27:y:2020:i:2:d:10.1007_s10690-019-09290-4)
by Xingjian Zheng & Dehua Shen - Market Participation Willingness and Investor’s Herding Behavior: Evidence from an Emerging Market (RePEc:kap:apfinm:v:27:y:2020:i:3:d:10.1007_s10690-020-09302-8)
by Xiong Xiong & Chen Wang & Dehua Shen - Stay-at-Home Stocks Versus Go-Outside Stocks: The Impacts of COVID-19 on the Chinese Stock Market (RePEc:kap:apfinm:v:28:y:2021:i:2:d:10.1007_s10690-020-09322-4)
by Dehua Shen & Wei Zhang - Stock Crashes and Jumps Reactions to Information Demand and Supply: An Intraday Analysis (RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-020-09327-z)
by Gang Chu & Xiao Li & Dehua Shen & Yongjie Zhang - Investor Attention and the Carbon Emission Markets in China: A Nonparametric Wavelet-Based Causality Test (RePEc:kap:apfinm:v:29:y:2022:i:1:d:10.1007_s10690-021-09348-2)
by Yongjie Zhang & Yue Li & Dehua Shen - A Socio-Finance Model: The Case of Bitcoin (RePEc:mse:cesdoc:20031)
by Yongqiang Meng & Dehua Shen & Xiong Xiong & Jorgen Vitting Andersen - Machine learning to establish proxies for investor attention: evidence of improved stock-return prediction (RePEc:spr:annopr:v:318:y:2022:i:1:d:10.1007_s10479-022-04892-0)
by Gang Chu & John W. Goodell & Dehua Shen & Yongjie Zhang - Special features on behavioral issues in cryptocurrencies (RePEc:spr:eaiere:v:17:y:2020:i:2:d:10.1007_s40844-020-00187-w)
by Dehua Shen - Baidu index and predictability of Chinese stock returns (RePEc:spr:fininn:v:3:y:2017:i:1:d:10.1186_s40854-017-0053-1)
by Dehua Shen & Yongjie Zhang & Xiong Xiong & Wei Zhang - Can the Baidu Index predict realized volatility in the Chinese stock market? (RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y)
by Wei Zhang & Kai Yan & Dehua Shen - Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis (RePEc:spr:jeicoo:v:14:y:2019:i:2:d:10.1007_s11403-019-00250-9)
by Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen - Some stylized facts of the cryptocurrency market (RePEc:taf:applec:v:50:y:2018:i:55:p:5950-5965)
by Wei Zhang & Pengfei Wang & Xiao Li & Dehua Shen - Investor reactions to local and overseas news: Evidence from A‐ and H‐shares in China (RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4190-4225)
by Yi Li & Dehua Shen & Pengfei Wang & Wei Zhang - Borrower platform choice: The influencing factors on herding (RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786320500024)
by Yingxiu Zhao & Wei Zhang & Pengfei Wang & Dehua Shen - Information and Bargaining Power: Evidence from SME Lending in China (RePEc:wsi:ijitdm:v:14:y:2015:i:04:n:s0219622015500133)
by Xiao-Yong Wang & Wei Zhang & Xiong Xiong & Hong-Li Che & Dehua Shen - Investor Structure and Stock Price Crash Risk in a Continuous Double Auction Market: An Agent-Based Perspective (RePEc:wsi:ijitdm:v:18:y:2019:i:02:n:s0219622019500081)
by Ruwei Zhao & Xiong Xiong & Dehua Shen & Wei Zhang