  Based on the commentary data of the Shenzhen Stock Index bar on the EastMoney
website from January 1, 2018 to December 31, 2019. This paper extracts the
embedded investor sentiment by using a deep learning BERT model and
investigates the time-varying linkage between investment sentiment, stock
market liquidity and volatility using a TVP-VAR model. The results show that
the impact of investor sentiment on stock market liquidity and volatility is
stronger. Although the inverse effect is relatively small, it is more
pronounced with the state of the stock market. In all cases, the response is
more pronounced in the short term than in the medium to long term, and the
impact is asymmetric, with shocks stronger when the market is in a downward
spiral.
