Communication and Comovement: Evidence from Online Stock Forums
利用中国在线股票论坛的数据，研究发现投资者在论坛中讨论的股票之间收益率存在显著联动，且讨论越密集联动越强，这种效应在信息不确定性高的股票中更明显，基于此的交易策略可获得超额收益。
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.