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Communication and Comovement: Evidence from Online Stock Forums

Author

Listed:
  • Lei Jiang
  • Jinyu Liu
  • Baozhong Yang

Abstract

We study investor communication and stock comovement using a novel data set from an active online stock forum in China. We find substantial comovement among the returns of a stock and its “related stocks,” which are frequently discussed in the subforum dedicated to the given stock. Comovement is greater when the discussion of related stocks is more intensive. Further, the effect of communication on comovement is stronger for stocks associated with higher information uncertainty. Codiscussed stocks are more actively traded and experience more correlated trading. A trading strategy that exploits communication‐driven comovement generates abnormal returns. Our findings highlight the impact of investor communication on asset comovement.

Suggested Citation

  • Lei Jiang & Jinyu Liu & Baozhong Yang, 2019. "Communication and Comovement: Evidence from Online Stock Forums," Financial Management, Financial Management Association International, vol. 48(3), pages 805-847, September.
    • Handle: RePEc:bla:finmgt:v:48:y:2019:i:3:p:805-847
    DOI: 10.1111/fima.12245
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    Cited by:

    1. Guo, Shijun & Hu, Fang, 2025. "Catalyzing transparency: Proactive enforcement of information disclosure and its impact on stock price synchronicity," Journal of Contemporary Accounting and Economics, Elsevier, vol. 21(1).
    2. Abd Rabbo, Fatima & Disli, Mustafa, 2025. "Style investing and return comovement in the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 77(PB).
    3. Zhao, Shuping & Xu, Kai & Wang, Zhao & Liang, Changyong & Lu, Wenxing & Chen, Bo, 2022. "Financial distress prediction by combining sentiment tone features," Economic Modelling, Elsevier, vol. 106(C).
    4. Zhang, Ziqi & Su, Zhi & Wang, Ke & Zhang, Yongji, 2022. "Corporate environmental information disclosure and stock price crash risk: Evidence from Chinese listed heavily polluting companies," Energy Economics, Elsevier, vol. 112(C).
    5. Wu, Chunying & Xiong, Xiong & Gao, Ya & Zhang, Jin, 2022. "Does social media coverage deter firms from withholding bad news? Evidence from stock price crash risk," International Review of Financial Analysis, Elsevier, vol. 84(C).
    6. Cao, Xing & Zhang, Yongjie & Feng, Xu & Meng, Xiangtong, 2021. "Investor interaction and price efficiency: Evidence from social media," Finance Research Letters, Elsevier, vol. 40(C).
    7. Hu, Yitong & Li, Xiao & Goodell, John W. & Shen, Dehua, 2021. "Investor attention shocks and stock co-movement: Substitution or reinforcement?," International Review of Financial Analysis, Elsevier, vol. 73(C).
    8. Chen, Zilin & Chu, Liya & Liang, Dawei & Tu, Jun, 2022. "Far away from home: Investors’ underreaction to geographically dispersed information," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
    9. Hong Yang & Xujing Li & Meng Li, 2026. "ESG performance and corporate default risk: insights from investor perspectives," Risk Management, Palgrave Macmillan, vol. 28(1), pages 1-39, February.
    10. Wang, Ning & Yan, Guowan & Zeng, Yixin, 2025. "Government procurement and stock price synchronicity," Pacific-Basin Finance Journal, Elsevier, vol. 93(C).
    11. Lu, Shan & Zhao, Jichang, 2024. "Investor network and stock return comovement: Information-seeking through intragroup and intergroup followings," International Review of Financial Analysis, Elsevier, vol. 93(C).
    12. REN, Fei & YI, Miaomiao & CHEN, Zhang-Hangjian & GAO, Xiang, 2026. "The effect of investor-driven information diffusion on excess comovement: Evidence from retail and institutional investors in China and the United States," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 106(C).
    13. Cao, Jie & Zou, Zhongyang & Yang, Xin & Xiong, Xiong, 2025. "How does social media shape stock liquidity? The role of investor online communication networks," International Review of Financial Analysis, Elsevier, vol. 103(C).
    14. Hu, Jun & Wu, Huiying & Ying, Sammy Xiaoyan & Long, Wenbin, 2021. "Relative-to-rival corporate philanthropy, product market competitiveness, and stakeholders," Journal of Contemporary Accounting and Economics, Elsevier, vol. 17(1).
    15. Zeng, Qing & Cao, Jiawei & Guo, Yangli & Dong, Dayong, 2023. "The macroeconomic attention index: Evidence from China," Finance Research Letters, Elsevier, vol. 52(C).
    16. Li, Yi & Zhang, Wei & Wang, Pengfei & Goodell, John W., 2024. "Social media as an amplifier of insider trading profits," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 96(C).
    17. Zhang, Tianjiao & Shen, Zhe & Sun, Qian, 2022. "Product market advertising and stock price crash risk," Pacific-Basin Finance Journal, Elsevier, vol. 71(C).
    18. Feng Guo & Bin Lyu & Xiaoliang Lyu & Jiandong Zheng, 2025. "Social Media Networks and Stock Price Synchronicity: Evidence from a Chinese Stock Forum," Abacus, Accounting Foundation, University of Sydney, vol. 61(2), pages 419-461, June.
    19. Dong, Dayong & Jiang, Danling & Wu, Keke & Zhu, Hongquan, 2024. "Game in another town: Geography of stock watchlists and firm valuation," Journal of Banking & Finance, Elsevier, vol. 163(C).
    20. Zhang, Xiaoying & Lin, Ling & Xiao, Min & Yang, Jing, 2024. "Do auditors care about what retail investors say? Evidence from China," Finance Research Letters, Elsevier, vol. 64(C).
    21. Chen, Zhang-HangJian & Wu, Wang-Long & Li, Sai-Ping & Bao, Kun & Koedijk, Kees G., 2024. "Social media information diffusion and excess stock returns co-movement," International Review of Financial Analysis, Elsevier, vol. 91(C).
    22. Ling He & Shiyang Hu & Dongmin Kong & Xiao Li, 2025. "Sincere Action or Sweet Talk: How Do Firms Respond to Retail Investors’ Green Appeals?," Journal of Business Ethics, Springer, vol. 201(1), pages 193-218, October.
    23. Wang, Gang-Jin & Xiong, Lu & Zhu, You & Xie, Chi & Foglia, Matteo, 2022. "Multilayer network analysis of investor sentiment and stock returns," Research in International Business and Finance, Elsevier, vol. 62(C).

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