Communication and Comovement: Evidence from Online Stock Forums

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: 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