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Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo

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  • Zhang, Tonghui
  • Yuan, Ying
  • Wu, Xi

Abstract

The question of whether microblogging data is reflected in stock market in the internet era is an outstanding issue. Here, we propose a new measure (Sina Weibo Index) of microblogging data using daily posting, commenting and tagging activities for the specific stock index on the Sina Weibo platform. By using Granger causality tests and time-delay detrended cross-correlation analysis (DCCA), we find that the variation tendency of Sina Weibo Index is highly correlated with stock market volatility. Our results confirm the role played by Sina Weibo in the fluctuations of stock market, especially during the boom and crisis periods.

Suggested Citation

  • Zhang, Tonghui & Yuan, Ying & Wu, Xi, 2020. "Is microblogging data reflected in stock market volatility? Evidence from Sina Weibo," Finance Research Letters, Elsevier, vol. 32(C).
    • Handle: RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318307803
    DOI: 10.1016/j.frl.2019.04.030
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    Cited by:

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    2. Wang, Xinjie & Xiang, Zhiqiang & Xu, Weike & Yuan, Peixuan, 2022. "The causal relationship between social media sentiment and stock return: Experimental evidence from an online message forum," Economics Letters, Elsevier, vol. 216(C).
    3. Yılmaz, Emrah Sıtkı & Ozpolat, Aslı & Destek, Mehmet Akif, 2022. "Do Twitter Sentiments Really Effective on Energy Stocks? Evidence from Intercompany Dependency," MPRA Paper 114155, University Library of Munich, Germany.
    4. Shahid Raza & Sun Baiqing & Pwint Kay-Khine & Muhammad Ali Kemal, 2023. "Uncovering the Effect of News Signals on Daily Stock Market Performance: An Econometric Analysis," IJFS, MDPI, vol. 11(3), pages 1-25, August.
    5. Dongqi Cui & Yuhan Cheng, 2020. "The Impact of the Public Opinion on Stock Market: Evidence from Weibo in China," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(4), pages 1-10.

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    More about this item

    Keywords

    Stock market volatility; Sina Weibo; Realized volatility; Chinese stock market;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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