Abstract:
In this paper, we select stock message board in Guba East-money, and extract sentiment from messages using computer text processing methods. We examine the information content of China’s Internet stock message boards in the event of analysts’ neutral recommendations. We find that contemporaneous stock returns are significantly positively related with sentiment. And the number of messages significantly negatively affects stock returns of the day and next two days. We also find that the number of messages significantly positively affects contemporaneous price volatility, and it also affects the volatility of the day and next two days. Greater disagreement among the posted messages induces more trading volume on the next two days. Hence, this research can not only provide new insight into the mechanism through which stock messages boards affect market, but also provide helpful guidance for stock market regulators.
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