News, search and stock co-movement: Investigating information diffusion in the financial market

Chen, Kun1; Luo, Peng2; Liu, Libo3; Zhang, Weiguo4

2018-03-01

10.1016/j.elerap.2018.01.015

Electronic Commerce Research and Applications   影响因子和分区

1567-4223

1873-7846

With the increase of global economic integration and business connections, stock performance in the securities market display increasing co-movement. Such co-movement is an important vehicle for risk and portfolio management in the finance arena. Thus, it is important for academics and practitioners to understand the mechanisms behind this co-movement. We focus on information diffusion and investigate the relationship between firm co-mentions and return co-movement, as well as the mediating role of search co-attention. By using sentiment analysis techniques, we further divide the firm co-mention relationships into supporting co-mentions and opposing co-mentions. Experiments were conducted based on stock data for 300 companies in the Shanghai-Shenzhen 300 Index, their public information, and Baidu's search volume data on those companies. Supported by information processing theory and prospect theory, our results indicate that information co-mentions (including supporting co-mentions and opposing co-mentions) has a significant influence on the return co-movement. Search co-attention plays an important mediating role in the relationship between firm co-mentions and return co-movement. More specifically, opposing co-mentions have a greater impact on search co-attention than supporting co-mentions, as well as a greater impact on return co-movement than supporting comentions. These findings provide important insights for the theoretical and practical implications. (C) 2018 Elsevier B.V. All rights reserved.

Firm co-mentions Information processing Prospect theory Search attention Sentiment analysis Stock co-movement

SCI ; EI ; SSCI

英语

第一 ; 通讯

Guangdong Natural Science Foundation[2017A030312001]

Business & Economics ; Computer Science

Business ; Computer Science, Information Systems ; Computer Science, Interdisciplinary Applications

WOS:000428938300015

ELSEVIER SCIENCE BV

20180704802545

Commerce ; Data mining ; Data processing ; Financial data processing ; Investments ; Sentiment analysis

Data Processing and Image Processing:723.2

Web of Science

1.Southern Univ Sci & Technol, Dept Finance, Shenzhen 518055, Peoples R China
2.Harbin Inst Technol, Sch Management, Harbin 150001, Heilongjiang, Peoples R China
3.Swinburne Univ Technol, Dept Informat Syst Entrepreneurship & Logist, Hawthorn, Vic, Australia
4.South China Univ Technol, Dept Decis Sci, Guangzhou 5100006, Guangdong, Peoples R China

Chen, Kun,Luo, Peng,Liu, Libo,et al. News, search and stock co-movement: Investigating information diffusion in the financial market[J]. Electronic Commerce Research and Applications,2018,28:159-171.

Chen, Kun,Luo, Peng,Liu, Libo,&Zhang, Weiguo.(2018).News, search and stock co-movement: Investigating information diffusion in the financial market.Electronic Commerce Research and Applications,28,159-171.

Chen, Kun,et al."News, search and stock co-movement: Investigating information diffusion in the financial market".Electronic Commerce Research and Applications 28(2018):159-171.