IS THERE TWO-WAY ASYNCHRONOUS INFORMATION TRANSMISSION BETWEEN STOCK MARKETS AND STOCK MESSAGE BOARDS?

摘要

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.