Erschienen in:Second Annual Volatility Institute at NYU Shanghai (VINS) 2016
Umfang:
1 Online-Ressource (66 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2802428
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 29, 2016 erstellt
Beschreibung:
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