Shifts in Collective Attention and Stock Networks Evidence from Standard Poor's 100 Corporations and Firm-Level Google Trends Data

摘要

In this paper, we combine network analytical methods to understand the structure of financial markets with recent research about collective attention shifts by utilizing massive social media data. Our main goal, hence, is to investigate whether changes in stock networks are connected with collective attention shifts. To examine the relationship between structural market properties and mass online behavior empirically, we merge company-level Google Trends data with stock network dynamics for all S&P 100 corporations between 2004 and 2014. The interplay of massive online behavior and market activities reveals that collective attention shifts precede structural changes in stock market networks and that this connection is mostly carried by companies that already dominate the development of the S&P 100.