The rate of communication

Shiyang Huang, Byoung-Hyoun Hwang and Dong Lou

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We study the transmission of financial news and opinions through social interactions among retail investors in the United States. We identify a series of plausibly exogenous shocks, which cause “treated investors” to trade abnormally. We then trace the “contagion” of abnormal trading activity from the treated investors to their neighbors and their neighbors’ neighbors. Coupled with methodology drawn from epidemiology, our setting allows us to estimate the rate of communication and how it varies with the characteristics of the underlying investor population.

Keywords: social interaction; investor communication; information diffusion (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 G20 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2021-08-01
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Published in Journal of Financial Economics, 1, August, 2021, 141(2), pp. 533 - 550. ISSN: 0304-405X

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