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Journal of Financial Economics Vol. 141 No. 2 2021

The rate of communication

Shiyang Huang1; Byoung-Hyoun Hwang2; Dong Lou3,4

1 University of Hong Kong · 2 Nanyang Business School, NTU, Singapore · 3 London School of Economics and Political Science · 4 Centre for Economic Policy Research

open access

Abstract

We study the transmission of financial news and opinions through social interactions among retail investors in the United States. We identify a series of plausibly exogenous shocks, which cause “treated investors” to trade abnormally. We then trace the “contagion” of abnormal trading activity from the treated investors to their neighbors and their neighbors’ neighbors. Coupled with methodology drawn from epidemiology, our setting allows us to estimate the rate of communication and how it varies with the characteristics of the underlying investor population.

DOI
10.1016/j.jfineco.2021.03.013
Volume
141
Issue
2
Pages
533-550
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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