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Tweeting the financial market: Media effect in the era of Big Data

Author

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  • Liu, Peipei
  • Xia, Xinping
  • Li, Antai

Abstract

This paper explores the effect of new media in China's financial markets. Using web crawling techniques, we extract daily data from the Baidu and 360 search engines, the Hexun finance platform and Sina Weibo from 2009 through 2016. We find that stock trading volume and turnover ratios are positively related to new media activity, while stock return is negatively related. A reversal effect also exists. By comparing the channels, the effect is weaker in social media than other channels. By comparing the industries, Internet search engines and online financial platform are significantly related to basic materials and telecommunication, while social media is related to consumer services and technology. Furthermore, we compare the effect of traditional with new media, finding a delayed effect in traditional media. Our paper highlights the media effect and investors' behavior in the era of Big Data.

Suggested Citation

  • Liu, Peipei & Xia, Xinping & Li, Antai, 2018. "Tweeting the financial market: Media effect in the era of Big Data," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 267-290.
    • Handle: RePEc:eee:pacfin:v:51:y:2018:i:c:p:267-290
    DOI: 10.1016/j.pacfin.2018.07.007
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