Microblogging Metrics and Stock Return Comovement

26 Pages Posted: 24 Jan 2014

See all articles by Ling Liu

Ling Liu

Southwestern University of Finance and Economics (SWUFE) - School of Economic Information Engineering

Jing Wu

Southwestern University of Finance and Economics (SWUFE)

Yang Yu

Rochester Institute of Technology (RIT)

Qing Li

Southwestern University of Finance and Economics (SWUFE)

Zhangxi Lin

Texas Tech University

Date Written: December 15, 2013

Abstract

Stock return comovement analysis is important to financial analysts, decision makers, and academic researchers, in many financial implications, such as, portfolio management, style investing, and market risk detecting. This paper examines firms’ social media, in particular, microblogging metrics’ role on analyzing stock return comovement. Social media allows firms to proactively connect with public users, customers, suppliers, and other business partners. It also provides us a large-scale and free data set to automatically and quickly uncover firms’ social media metrics’ influence on financial outcomes. Most prior studies of social media metrics focused on overall firm metrics and their predictability on stock returns. However, the role of firms proactive activities has been omitted. This paper filled this gap by using cross-sectional data from the US and China to investigate on how firm-specific social media metrics make an impact to the stock return comovement. The results show starting with the four-digit Global Industry Classification Standard (GICS) system, the stock groups that are divided by firms’ effect microblogging metrics, have a higher comovement than six-digit GICS groups.

Keywords: Social Media, Stock Return Comovement, Microblog, Homogeneous Stock Groups

Suggested Citation

Liu, Ling and Wu, Jing and Yu, Yang and Li, Qing and Lin, Zhangxi, Microblogging Metrics and Stock Return Comovement (December 15, 2013). Available at SSRN: https://ssrn.com/abstract=2382971 or http://dx.doi.org/10.2139/ssrn.2382971

Ling Liu (Contact Author)

Southwestern University of Finance and Economics (SWUFE) - School of Economic Information Engineering ( email )

55 Guanghuacun St,
Chengdu, Sichuan 610074
China

Jing Wu

Southwestern University of Finance and Economics (SWUFE) ( email )

55 Guanghuacun St,
Chengdu, Sichuan 610074
China

Yang Yu

Rochester Institute of Technology (RIT) ( email )

Rochester, NY 14623
United States

Qing Li

Southwestern University of Finance and Economics (SWUFE) ( email )

55 Guanghuacun St,
Chengdu, Sichuan 610074
China

Zhangxi Lin

Texas Tech University ( email )

2500 Broadway
Lubbock, TX 79409
United States
(806)8341926 (Phone)
(806)7421926 (Fax)

HOME PAGE: http://zlin.ba.ttu.edu

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