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Direct interaction in digital interactive media and stock performance: Evidence from Panorama
Jinshui Huang1, Jun Wang1, Xiaoman Jin2
1School of Management Science and Engineering, Southwestern University of Finance and Economics, Chengdu, Sichuan, China.
Plos One
|May 28, 2024
Summary
Company responses on Digital Interactive Media (DIM) significantly impact stock prices, unlike investor questions. This finding confirms behavioral finance principles, especially for short-term stock performance.
Area of Science:
- Financial markets
- Behavioral finance
- Natural Language Processing (NLP)
Background:
- Digital Interactive Media (DIM) is a key channel for investors to understand Chinese listed companies.
- DIM facilitates direct interaction between companies and investors, influencing investment decisions.
- Massive Q&A data in DIM requires NLP for analysis.
Purpose of the Study:
- To deconstruct DIM Q&A data using NLP.
- To extract factors influencing stock prices and performance.
- To explore the mechanism of DIM's influence on stock performance.
Main Methods:
- Web crawling to collect ~110,000 Q&A texts from 2015-2021.
- Big data text analysis and sentiment quantification.
- Multiple Linear Regression (MLR) for mechanism exploration.
Main Results:
- Investor question sentiment did not significantly impact stock performance.
- Listed company answers' sentiment and attitude significantly affected stock prices.
- This effect was most pronounced on the current and next trading days.
Conclusions:
- Company responses in DIM are crucial drivers of stock price movements.
- Findings support the Proximate Cause Effect in behavioral finance.
- Robustness, endogeneity, and heterogeneity tests validated the conclusions.
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