Communication and Comovement: Evidence from Online Stock Forums

Abstract

We study investor communication and stock comovement using a novel data set from an active online stock forum in China. We find substantial comovement among the returns of a stock and its “related stocks,” which are frequently discussed in the subforum dedicated to the given stock. Comovement is greater when the discussion of related stocks is more intensive. Further, the effect of communication on comovement is stronger for stocks associated with higher information uncertainty. Codiscussed stocks are more actively traded and experience more correlated trading. A trading strategy that exploits communication‐driven comovement generates abnormal returns. Our findings highlight the impact of investor communication on asset comovement.

The Power of Retail Investor Voice: The Effect of Online Discussions on Corporate Innovation

“…Following Jiang, Liu and Yang (2019), we examine the relation between retail investor voice and corporate innovation in the year before (i.e. 2012, the control year) or after (i.e.…”

“…As of the end of 2018, it covers over 3000 stocks and has approximately 200 million messages. Perhaps because of its popularity, it has been employed as the main data source for many studies, such as Jiang et al (2019) and Ang et al (2021). 12 Visit https://www.investor.org.cn/investor_interaction/ questionnaire/tzzbg/201905/t20190509_365638.shtml for more information.…”

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Does advertising really work?

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