Social Media and Financial Markets: Evidence from Russia
Institute for Political Economy and Governance; Universitat Pompeu Fabra; New Economic School
Institute for Political Economy and Governance, Barcelona; Universitat Pompeu Fabra; Barcelona Graduate School of Economics (Barcelona GSE); New Economic School (NES)
Higher School of Economics; Centre for Economic Policy Research (CEPR)
February 26, 2015
Can publications in social media have a causal impact in financial markets? Can blog posts have a long-term effect on the behavior of companies? Do non-informative posts distract traders’ attention? We address these questions by analyzing the impact of posts made by a popular Russian blogger, Aleksei Navalny. For identification, we combine two approaches: First, we analyze the precise timing of blog posts not preceded by mentions of companies in any alternative news source. Second, we use the evidence from distributed-denial-of-service (DDoS) attacks on other blogs that prevented the whole blog platform from being accessible for some users. We also use the incidence of popular posts by other bloggers that are not related to financial markets to show that less attention implies that the impact of Navalny’s posts is smaller. Finally, we show that some posts have a long-term impact on returns and are associated with real-life changes in the companies, such as higher management turnover and fewer conflicts with minority shareholders.
Number of Pages in PDF File: 50
Keywords: political economy, financial markets, social media, governance
Date posted: September 27, 2012 ; Last revised: February 27, 2015
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