New or Noise? Internet Postings and Stock Prices

Posted: 1 Aug 2001

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)


The anecdotal evidence is growing that postings in Internet financial forums affect stock prices, either because the postings contain new information or because they represent successful attempts to manipulate stock prices. From an investment perspective, knowing whether this phenomenon is pervasive is important. We examined the relationship between Internet message board activity and abnormal stock returns and trading volume in the period from mid-April 1999 to mid-February 2000. Our study focused on the discussion forum, an extremely popular site whose format permits the construction of an objective measure of investor opinions. For stocks in the Internet service sector, we found that on days with abnormally high message activity, changes in investor opinion correlated with abnormal industry-adjusted returns. These event days also coincided with abnormally high trading volume, which persisted for a second day. However, we found that message board activity did not predict industry-adjusted returns or abnormal trading volume, which is consistent with market efficiency.

JEL Classification: M41, M45, G14

Suggested Citation

Tumarkin, Robert and Whitelaw, Robert F., New or Noise? Internet Postings and Stock Prices. Financial Analysts Journal, Vol. 57, No. 3, May/June 2001. Available at SSRN:

Robert Tumarkin (Contact Author)

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

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

Financial Research Network (FIRN)

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


Robert F. Whitelaw

New York University ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0338 (Phone)
212-995-4233 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
PlumX Metrics