Social Media, News Media and the Stock Market

Jazyk: angličtina
Rok vydání: 2018
Předmět:
g12 - "Asset Pricing
Trading volume
Bond Interest Rates"
g02 - Behavioral Finance: Underlying Principles
g14 - "Information and Market Efficiency
Event Studies"
Popis: We study the effect on stock volatility and turnover of coverage by traditional news media and social media. We find that coverage by traditional news media predicts decreases in subsequent volatility and turnover, but coverage by social media predicts increases in volatility and turnover. These patterns are inconsistent with rational models where social and news media both convey information. We show that they are consistent with a model of “echo chambers”, where social networks repeat news, but some investors interpret repeated signals as genuinely new information.
Databáze: OpenAIRE
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