IS THERE TWO-WAY ASYNCHRONOUS INFORMATION TRANSMISSION BETWEEN STOCK MARKETS AND STOCK MESSAGE BOARDS?

Dayong Dong, Liaoliao Li, Dan Yang, Huilin Zhu (), Qilin Cao () and Yong Lu ()
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Dayong Dong: School of Economics and Business Administration, Southwest Jiaotong University, Chengdu 610031, China
Liaoliao Li: Department of Business Administration, Kutztown University of Pennsylvania, Kutztown, PA 19530, USA
Dan Yang: School of Business Administration, Southwestern University of Finance & Economics, Chengdu 610074, China
Huilin Zhu: College of Business and Economics, Lehigh University, USA
Qilin Cao: School of Business & Administration, Sichuan University, China
Yong Lu: Information Sciences & Technology, The Pennsylvania State University, 76 University, Hazleton, PA 18202, USA

International Journal of Information Technology & Decision Making (IJITDM), 2012, vol. 11, issue 04, 777-792

Abstract: This study investigates asynchronous information transmission between stock returns and abnormal posting volume on the online stock message boards in China. Based on a robust GARCH model, the study finds that there are significant two-way volatility spillover effects: a positive volatility spillover effect from stock returns to abnormal message posting volume, and a negative volatility spillover effect from abnormal message posting volume to stock returns. The information exchange and communication on stock message boards have a certain role in stabilizing financial markets and improving investor's decision making on financial markets.

Keywords: Information transmission; volatility; stock message boards; investment decision making (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1142/S0219622012500204

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