Messages in online stock forums and stock price synchronicity: Evidence from China

Can Huang, Yuqiang Cao*, Meiting Lu, Yaowen Shan, Yizhou Zhang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)

Abstract

Online stock forums allow investors to share information and exchange opinions, which facilitates the incorporation of firm-specific information into prices and reduces stock price synchronicity. However, prior research presents mixed evidence as to the value of messages in online forums. Using the information of the Eastmoney Guba online forum in China, we find a causal and negative relation between Guba messages and stock price synchronicity. The finding is robust after accounting for media reports and firm fixed effects and using both an instrumental variable analysis and an experimental design that exploits exogenous changes in the authenticity of Guba messages. We find the impact of Guba information is attributed to its roles in both information dissemination and investor interaction and is more pronounced for messages with a negative narrative tone. Additional tests suggest Guba messages improve firm information disclosure quality, reduce stock price crash risk and decrease stock return volatility synchronicity.

Original languageEnglish
Pages (from-to)3011-3041
Number of pages31
JournalAccounting & Finance
Volume63
Issue number3
Early online date26 Sept 2022
DOIs
Publication statusPublished - Sept 2023

Keywords

  • China
  • Guba messages
  • online stock forums
  • stock price synchronicity

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