Social media, news media and the stock market
File(s)JVW_2020.02.21.pdf (1.02 MB)
Accepted version
Author(s)
Jiao, Peiran
Walther, Ansgar
Type
Working Paper
Abstract
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.
Date Issued
2018-09-25
Citation
2018
Publisher
SSRN
Copyright Statement
© 2018 The Author(s)
Identifier
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2755933
Publication Status
Published