Has microblogging changed stock market behavior? Evidence from China

Xi Jin, Dehua Shen and Wei Zhang

Physica A: Statistical Mechanics and its Applications, 2016, vol. 452, issue C, 151-156

Abstract: This paper examines the stock market behavior for a long-lived subset of firms in Shanghai and Shenzhen CSI 300 Index (CSI 300 Index) both before and after the establishment of firms’ Microblogging in Sina Weibo. The empirical results show a significant increase in the relative trading volume as well as the decreases in the daily expected stock return and firm-level volatility in the post-Sina Weibo period. These findings suggest that Sina Weibo as an alternative information interaction channel has changed the information environment for individual stock, enhanced the speed of information diffusion and therefore changed the overall stock market behavior.

Keywords: Complex information environment; Internet information; Information diffusion; Stock market behavior; Social media; Firm-level volatility (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:452:y:2016:i:c:p:151-156

DOI: 10.1016/j.physa.2016.02.052

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