{"title":"Social media sentiment contagion and stock price jumps and crashes","authors":"","doi":"10.1016/j.pacfin.2024.102520","DOIUrl":null,"url":null,"abstract":"<div><p>Inspired by the SIR model, we adopt sentiment extracted from the social media platform (Guba) of Eastmoney in China during 2008–2022 to construct a firm-specific investor sentiment contagion speed measurement and investigate the association between sentiment contagion speed and stock price jumps and crashes. Specifically, we find that the contagion of optimistic sentiment is positively associated with jumps in stock price, while the contagion of pessimistic sentiment is positively associated with the crash risk of stock prices. Moreover, these associations vary based on the prevailing proportion of the sentiment and the market's bull and bear status. Additionally, the stock price movement associated with social sentiment contagion is influenced by short-selling constraints, analyst coverage and institutional ownership.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8000,"publicationDate":"2024-09-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Pacific-Basin Finance Journal","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927538X24002725","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
Inspired by the SIR model, we adopt sentiment extracted from the social media platform (Guba) of Eastmoney in China during 2008–2022 to construct a firm-specific investor sentiment contagion speed measurement and investigate the association between sentiment contagion speed and stock price jumps and crashes. Specifically, we find that the contagion of optimistic sentiment is positively associated with jumps in stock price, while the contagion of pessimistic sentiment is positively associated with the crash risk of stock prices. Moreover, these associations vary based on the prevailing proportion of the sentiment and the market's bull and bear status. Additionally, the stock price movement associated with social sentiment contagion is influenced by short-selling constraints, analyst coverage and institutional ownership.
受 SIR 模型的启发，我们采用 2008-2022 年间从《东方财富》中国社交媒体平台（Guba）中提取的情绪，构建了针对特定公司的投资者情绪传染速度测量指标，并研究了情绪传染速度与股价跳跃和崩盘之间的关联。具体而言，我们发现乐观情绪的传染速度与股价跳跃正相关，而悲观情绪的传染速度与股价暴跌风险正相关。而且，这些关联因情绪的普遍比例和市场的牛熊状态而异。此外，与社会情绪传染相关的股价走势还受到卖空限制、分析师覆盖率和机构所有权的影响。
期刊介绍：
The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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