The Impact of Capital Market Activity and Investor Sentiment on the Yield of Internet Money Market Funds: Evidence From Yu'ebao

ABSTRACT The high liquidity and flexibility of internet money market funds enable investors to subscribe and redeem their holdings conveniently at any time. Yu'ebao, as one of China's most representative internet money market fund products, has attracted considerable attention regarding the determinants of fluctuations in its yield. Taking Yu'ebao as the research subject, this paper explores the mechanisms through which capital market activities and investor sentiment—captured through both stock and bond markets—affect the fund's yield. Empirical results indicate that: (1) stock market trading volume exhibits a significant positive correlation with Yu'ebao's yield, whereas bond market trading volume shows a significant negative impact; (2) the influence of bond market trading volume on Yu'ebao's yield is more pronounced compared to that of the stock market; (3) although investor sentiment is significantly positively correlated with Yu'ebao's yield, it does not constitute a decisive determinant. This study contributes to a deeper understanding of the yield formation mechanism in internet money market funds. Through empirically validated findings and multiple robustness checks, it provides crucial evidence for financial regulatory authorities concerning monetary policy formulation and market stability management.