Communication and Comovement: Evidence from Online Stock Forums

59 Pages Posted: 16 Feb 2015 Last revised: 22 May 2018

See all articles by Lei Jiang

Lei Jiang

Tsinghua University

Jinyu Liu

University of International Business and Economics (UIBE) - School of Banking and Finance

Baozhong Yang

Georgia State University - Robinson College of Business

Multiple version iconThere are 2 versions of this paper

Date Written: May 20, 2018

Abstract

We study investor communication and stock comovement using a novel dataset for an active online stock forum in China. We find substantial comovement among the returns of a stock and its “related stocks,” which are frequently discussed in the sub-forum dedicated to the given stock. Comovement is greater when the discussion of related stocks is more intensive. Further, the effect of communication on comovement is stronger for stocks associated with higher information uncertainty. Co-discussed stocks are more actively traded and experience more correlated trading. A trading strategy that exploits communication-driven comovement generates abnormal returns. Our findings highlight the impact of investor communication on asset comovement.

Keywords: Comovement; Asset Returns; Communication

JEL Classification: G12, G14, D83

Suggested Citation

Jiang, Lei and Liu, Jinyu and Yang, Baozhong, Communication and Comovement: Evidence from Online Stock Forums (May 20, 2018). Available at SSRN: https://ssrn.com/abstract=2565250 or http://dx.doi.org/10.2139/ssrn.2565250

Lei Jiang

Tsinghua University ( email )

Beijing, 100084
China

Jinyu Liu

University of International Business and Economics (UIBE) - School of Banking and Finance ( email )

No.10, Huixindong Street, Chaoyang District
Beijing, 100029
China
+8613720001753 (Phone)

HOME PAGE: http://sbf.uibe.edu.cn/szdw/xyjs/zc/57847.htm

Baozhong Yang (Contact Author)

Georgia State University - Robinson College of Business ( email )

35 Broad Street
Atlanta, GA 30303-3083
United States
404-413-7350 (Phone)
404-413-7312 (Fax)

HOME PAGE: http://www2.gsu.edu/~fncbyy/index.html

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