Weibo Attention and Stock Market Performance: Some Empirical Evidence
In this paper, we employ Weibo Index as the proxy for investor attention and analyze the relationships between investor attention and stock market performance, i.e., trading volume, return, and volatility. The empirical results firstly show that Weibo attention is positively related to trading volum...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2018/9571848 |
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| _version_ | 1832550663037386752 |
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| author | Minghua Dong Xiong Xiong Xiao Li Dehua Shen |
| author_facet | Minghua Dong Xiong Xiong Xiao Li Dehua Shen |
| author_sort | Minghua Dong |
| collection | DOAJ |
| description | In this paper, we employ Weibo Index as the proxy for investor attention and analyze the relationships between investor attention and stock market performance, i.e., trading volume, return, and volatility. The empirical results firstly show that Weibo attention is positively related to trading volume, intraday volatility, and return. Secondly, there exist bidirectional causal relationships between Weibo attention and stock market performance. Thirdly, we generally find that higher Weibo attention indicates higher correlation coefficients with the quantile regression analysis. |
| format | Article |
| id | doaj-art-e0ba3a198c0d45ef88851c41594b3f16 |
| institution | Kabale University |
| issn | 1076-2787 1099-0526 |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-e0ba3a198c0d45ef88851c41594b3f162025-02-03T06:06:20ZengWileyComplexity1076-27871099-05262018-01-01201810.1155/2018/95718489571848Weibo Attention and Stock Market Performance: Some Empirical EvidenceMinghua Dong0Xiong Xiong1Xiao Li2Dehua Shen3College of Management and Economics, Tianjin University, Tianjin 300072, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaSchool of Finance, Nankai University, Tianjin 300350, ChinaCollege of Management and Economics, Tianjin University, Tianjin 300072, ChinaIn this paper, we employ Weibo Index as the proxy for investor attention and analyze the relationships between investor attention and stock market performance, i.e., trading volume, return, and volatility. The empirical results firstly show that Weibo attention is positively related to trading volume, intraday volatility, and return. Secondly, there exist bidirectional causal relationships between Weibo attention and stock market performance. Thirdly, we generally find that higher Weibo attention indicates higher correlation coefficients with the quantile regression analysis.http://dx.doi.org/10.1155/2018/9571848 |
| spellingShingle | Minghua Dong Xiong Xiong Xiao Li Dehua Shen Weibo Attention and Stock Market Performance: Some Empirical Evidence Complexity |
| title | Weibo Attention and Stock Market Performance: Some Empirical Evidence |
| title_full | Weibo Attention and Stock Market Performance: Some Empirical Evidence |
| title_fullStr | Weibo Attention and Stock Market Performance: Some Empirical Evidence |
| title_full_unstemmed | Weibo Attention and Stock Market Performance: Some Empirical Evidence |
| title_short | Weibo Attention and Stock Market Performance: Some Empirical Evidence |
| title_sort | weibo attention and stock market performance some empirical evidence |
| url | http://dx.doi.org/10.1155/2018/9571848 |
| work_keys_str_mv | AT minghuadong weiboattentionandstockmarketperformancesomeempiricalevidence AT xiongxiong weiboattentionandstockmarketperformancesomeempiricalevidence AT xiaoli weiboattentionandstockmarketperformancesomeempiricalevidence AT dehuashen weiboattentionandstockmarketperformancesomeempiricalevidence |