Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards

Frank, Murray Z.; Antweiler, Werner

doi:10.2139/ssrn.282320

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Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards

AFA 2002 Atlanta Meetings

Sauder School of Business Working Paper

48 Pages Posted: 8 Sep 2001

See all articles by Murray Z. Frank

Werner Antweiler

University of British Columbia (UBC) - Sauder School of Business

Date Written: August 21, 2001

Abstract

Literally millions of messages have been posted on internet stock message boards. Financial press reports claim that these postings can move markets. We study message posting on Yahoo! Finance and Raging Bull for the firms that were in the Dow Jones Industrial Average and the Dow Jones Internet Commerce Index during the year 2000. Using computional linguistics methods we measure the bullishness of the messages. Significant predictive content was found between message posting and trading volume, between message posting and volatility, between the degree of bullishness of the messages and trading volume. These results were obtained even after taking news stories from the Wall Street Journal into account.

Keywords: Volatility, Trading Volume, Internet Stock Message Boards

JEL Classification: G12, G14

Suggested Citation: Suggested Citation

Frank, Murray Z. and Antweiler, Werner, Is All that Talk Just Noise? The Information Content of Internet Stock Message Boards (August 21, 2001). AFA 2002 Atlanta Meetings, Sauder School of Business Working Paper, Available at SSRN: https://ssrn.com/abstract=282320 or http://dx.doi.org/10.2139/ssrn.282320