Finance Seminar（2015-19）

Topic: Communication and Comovement:Evidence from Online Stock Forums

Speaker: Baozhong Yang,Georgia State University

Time: Wednesday, 17 June,09:00-10:15

Location: Room 217, Guanghua Building 2

Abstract: We study the comovement of asset returns caused by communication among investors. We develop a model of investor communication and trading and test its predictions by using a novel dataset on an active online stock forum in China. For each stock, we consider its “related stocks,”which are frequently discussed on the sub-forum dedicated to the given stock. We find that there is substantial excess comovement among the returns of a stock and its related stocks. Excess comovement is greater when related stocks are more frequently discussed. Furthermore, the effect of frequent communication on excess comovement is stronger for stocks associated with greater information asymmetry. Our findings are consistent with the model’s predictions and highlight the potential distortive effects of investor communication on the covariance of stock returns.