Social media sentiment contagion and stock price jumps and crashes

Jing Yang and Yan Xiong

Pacific-Basin Finance Journal, 2024, vol. 88, issue C

Abstract: Inspired by the SIR model, we adopt sentiment extracted from the social media platform (Guba) of Eastmoney in China during 2008–2022 to construct a firm-specific investor sentiment contagion speed measurement and investigate the association between sentiment contagion speed and stock price jumps and crashes. Specifically, we find that the contagion of optimistic sentiment is positively associated with jumps in stock price, while the contagion of pessimistic sentiment is positively associated with the crash risk of stock prices. Moreover, these associations vary based on the prevailing proportion of the sentiment and the market's bull and bear status. Additionally, the stock price movement associated with social sentiment contagion is influenced by short-selling constraints, analyst coverage and institutional ownership.

Keywords: Social media sentiment contagion; Stock price jumps; Stock price crashes (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927538X24002725
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002725

DOI: 10.1016/j.pacfin.2024.102520

Access Statistics for this article

Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee

More articles in Pacific-Basin Finance Journal from Elsevier
Bibliographic data for series maintained by Catherine Liu ().