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Network interdependency between social media and stock trading activities: Evidence from China

Author

Listed:
  • Lin, Shen
  • Ren, Da
  • Zhang, Wei
  • Zhang, Yongjie
  • Shen, Dehua

Abstract

The emergence of social media accelerates the research on information dissemination and its corresponding influence on trading tendency. Based on empirical study of the dynamic relationship between the ratio of re-post microblog and original microblog (RRO) and average volume per transaction (VPT), we find the following results: (1) In microblog network, stocks with high RRO are often accompanied with low statistical VPT; (2) When the discussion about one stock is quite lively in microblog network (such as the blog postings reach a summit), it does not statistically cause the fluctuations of VPT of the stock; (3) Overall speaking, RRO plays a significant role in inverting u-shaped relationship with VPT.

Suggested Citation

  • Lin, Shen & Ren, Da & Zhang, Wei & Zhang, Yongjie & Shen, Dehua, 2016. "Network interdependency between social media and stock trading activities: Evidence from China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 305-312.
    • Handle: RePEc:eee:phsmap:v:451:y:2016:i:c:p:305-312
    DOI: 10.1016/j.physa.2016.01.095
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    References listed on IDEAS

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    1. Zhang, Wei & Shen, Dehua & Zhang, Yongjie & Xiong, Xiong, 2013. "Open source information, investor attention, and asset pricing," Economic Modelling, Elsevier, vol. 33(C), pages 613-619.
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    3. Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 70-74.
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    6. Liu, Yanhui & Cizeau, Pierre & Meyer, Martin & Peng, C.-K. & Eugene Stanley, H., 1997. "Correlations in economic time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 245(3), pages 437-440.
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    Cited by:

    1. Zhang, Xingwei & Zheng, Xiaolong & Zeng, Daniel Dajun, 2017. "The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 472(C), pages 32-42.
    2. Mahsa Samsami & Ralf Wagner, 2021. "Investment Decisions with Endogeneity: A Dirichlet Tree Analysis," JRFM, MDPI, vol. 14(7), pages 1-19, July.
    3. Zhang, Wei & Li, Xiao & Shen, Dehua & Teglio, Andrea, 2016. "Daily happiness and stock returns: Some international evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 460(C), pages 201-209.
    4. Yingying Xu & Zhixin Liu & Jichang Zhao & Chiwei Su, 2017. "Weibo sentiments and stock return: A time-frequency view," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-21, July.

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