The rate of communication

• 成果类型: Article
• 署名作者: Huang, Shiyang; Hwang, Byoung-Hyoun; Lou, Dong
• 署名单位: University of Hong Kong; Nanyang Technological University; University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.03.013
• 发表日期: 2021
• 页码: 533-550
• 关键词: Social interaction; Investor communication; Information diffusion

摘要

We study the transmission of financial news and opinions through social interactions among retail investors in the United States. We identify a series of plausibly exogenous shocks, which cause treated investors to trade abnormally. We then trace the contagion of abnormal trading activity from the treated investors to their neighbors and their neighbors' neighbors. Coupled with methodology drawn from epidemiology, our setting allows us to estimate the rate of communication and how it varies with the characteristics of the underlying investor population. (c) 2021 Elsevier B.V. All rights reserved.