Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo

Tonghui Zhang, Ying Yuan and Xi Wu

Finance Research Letters, 2020, vol. 32, issue C

Abstract: The question of whether microblogging data is reflected in stock market in the internet era is an outstanding issue. Here, we propose a new measure (Sina Weibo Index) of microblogging data using daily posting, commenting and tagging activities for the specific stock index on the Sina Weibo platform. By using Granger causality tests and time-delay detrended cross-correlation analysis (DCCA), we find that the variation tendency of Sina Weibo Index is highly correlated with stock market volatility. Our results confirm the role played by Sina Weibo in the fluctuations of stock market, especially during the boom and crisis periods.

Keywords: Stock market volatility; Sina Weibo; Realized volatility; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G14 G15 G41 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318307803

DOI: 10.1016/j.frl.2019.04.030

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