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Is There Two-Way Asynchronous Information Transmission Between Stock Markets And Stock Message Boards?

Author

Listed:
  • DAYONG DONG

    (School of Economics and Business Administration, Southwest Jiaotong University, Chengdu 610031, China)

  • LIAOLIAO LI

    (Department of Business Administration, Kutztown University of Pennsylvania, Kutztown, PA 19530, USA)

  • DAN YANG

    (School of Business Administration, Southwestern University of Finance & Economics, Chengdu 610074, China)

  • HUILIN ZHU

    (College of Business and Economics, Lehigh University, USA)

  • QILIN CAO

    (School of Business & Administration, Sichuan University, China)

  • YONG LU

    (Information Sciences & Technology, The Pennsylvania State University, 76 University, Hazleton, PA 18202, USA)

Abstract

This study investigates asynchronous information transmission between stock returns and abnormal posting volume on the online stock message boards in China. Based on a robust GARCH model, the study finds that there are significant two-way volatility spillover effects: a positive volatility spillover effect from stock returns to abnormal message posting volume, and a negative volatility spillover effect from abnormal message posting volume to stock returns. The information exchange and communication on stock message boards have a certain role in stabilizing financial markets and improving investor's decision making on financial markets.

Suggested Citation

  • Dayong Dong & Liaoliao Li & Dan Yang & Huilin Zhu & Qilin Cao & Yong Lu, 2012. "Is There Two-Way Asynchronous Information Transmission Between Stock Markets And Stock Message Boards?," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 777-792.
    • Handle: RePEc:wsi:ijitdm:v:11:y:2012:i:04:n:s0219622012500204
    DOI: 10.1142/S0219622012500204
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