Communication and Comovement: Evidence from Online Stock Forums

66 Pages Posted: 30 Jun 2016

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: June 29, 2016

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,” that are frequently discussed in the sub-forum dedicated to the given stock. Comovement is greater when related stocks are more frequently discussed. Further, the effect of frequent communication on comovement is stronger for stocks associated with higher information asymmetry. We also use a forum outage event as a quasi-natural experiment to establish causality. Our findings highlight the impact of investor communication on stock return 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 (June 29, 2016). Second Annual Volatility Institute at NYU Shanghai (VINS) 2016, Available at SSRN: https://ssrn.com/abstract=2802428 or http://dx.doi.org/10.2139/ssrn.2802428

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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