Internet Message Board Activity and Market Efficiency: A Case Study of the Internet Service Sector Using Ragingbull.Com

23 Pages Posted: 13 Oct 2008

See all articles by Robert Tumarkin

Robert Tumarkin

UNSW Australia Business School, School of Banking and Finance; Financial Research Network (FIRN)

Robert Whitelaw

New York University; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: 2000

Abstract

This paper examines the relationships between internet message-board activity and abnormal stock returns and between internet message-board activity and abnormal trading volume.This study focuses on RagingBull.com and internet service sector stocks. I choose RagingBull.com because its format enables me to measure investor opinion objectively. I find that on days with abnormally high message activity changes in investor opinion correlate with with abnormal industry-adjusted returns. Additionally, days with abnormally high message activity coincide with abnormally high trading volume both that day and the following day. However, I find that, in general, message-board activity does not predict industry-adjusted returns or abnormal trading volume.

Suggested Citation

Tumarkin, Robert and Whitelaw, Robert F., Internet Message Board Activity and Market Efficiency: A Case Study of the Internet Service Sector Using Ragingbull.Com (2000). NYU Working Paper No. 2451/25970. Available at SSRN: https://ssrn.com/abstract=1282520

Robert Tumarkin (Contact Author)

UNSW Australia Business School, School of Banking and Finance ( email )

Sydney, NSW 2052
Australia
+61 02 9385 6730 (Phone)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Robert F. Whitelaw

New York University ( email )

Stern School of Business
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New York, NY 10012-1126
United States
212-998-0338 (Phone)
212-995-4233 (Fax)

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
United States

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