Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 15, 2021 erstellt
Beschreibung:
This paper proposes a new model to reveal the underlying mechanism of excess stock returns comovement by modeling two types of information diffusion behaviors of investors on social media, i.e., common attention on different forums and information interaction among investors on the same forum. The simulation results show that both the common attention and information interaction have significant impacts on excess comovement, but play different roles under different circumstances. In the positive correlation group, the impact of investors' common attention is dominant when the information interactions among investors are less frequent, and the increase of the ratio of co-investors between stock pairs can amplify the effect of common attention on excess comovement. In the negative correlation group, the information interaction behavior among investors becomes dominant when the ratio of co-investors becomes small, especially during the extreme periods in which the market is at a high level of herding. We further use the new model to predict the excess comovement between stock returns, which can accurately predict the excess comovements in both the next trading day and the next trading week