Network interdependency between social media and stock trading activities: Evidence from China

Shen Lin, Da Ren, Wei Zhang, Yongjie Zhang and Dehua Shen

Physica A: Statistical Mechanics and its Applications, 2016, vol. 451, issue C, 305-312

Abstract: The emergence of social media accelerates the research on information dissemination and its corresponding influence on trading tendency. Based on empirical study of the dynamic relationship between the ratio of re-post microblog and original microblog (RRO) and average volume per transaction (VPT), we find the following results: (1) In microblog network, stocks with high RRO are often accompanied with low statistical VPT; (2) When the discussion about one stock is quite lively in microblog network (such as the blog postings reach a summit), it does not statistically cause the fluctuations of VPT of the stock; (3) Overall speaking, RRO plays a significant role in inverting u-shaped relationship with VPT.

Keywords: Social media; Volatility; Microblog; Network interdependency (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:451:y:2016:i:c:p:305-312

DOI: 10.1016/j.physa.2016.01.095

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