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Social media, news media and the stock market

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Title: Social media, news media and the stock market
Authors: Jiao, P
Walther, A
Item 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.
Issue Date: 25-Sep-2018
URI: http://hdl.handle.net/10044/1/77518
DOI: 10.2139/ssrn.2755933
Publisher: SSRN
Copyright Statement: © 2018 The Author(s)
Publication Status: Published
Appears in Collections:Imperial College Business School