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The rate of communication

Author

Listed:
  • Huang, Shiyang
  • Hwang, Byoung-Hyoun
  • Lou, Dong

Abstract

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.

Suggested Citation

  • Huang, Shiyang & Hwang, Byoung-Hyoun & Lou, Dong, 2021. "The rate of communication," Journal of Financial Economics, Elsevier, vol. 141(2), pages 533-550.
    • Handle: RePEc:eee:jfinec:v:141:y:2021:i:2:p:533-550
    DOI: 10.1016/j.jfineco.2021.03.013
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    References listed on IDEAS

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    More about this item

    Keywords

    Social interaction; Investor communication; Information diffusion;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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