Abstract:

This paper, based on the social network analysis technology to identify opinion leaders in the online stock forum, uses the text analysis technology to classify the type of posted message of opinion leaders, and develops two types of peer firm relationship based on industry and common analyst coverage. It examines the impact and mechanism of sentiment of opinion leaders on the stock price of peer firms, in order to test whether the sentiment of opinion leaders in the online forum spread among peer firms and their dissemination characteristics and patterns. Based on the sample data from 2013 to 2017, it is found that positive sentiment of opinion leaders from peer firms has a significantly positive impact on both short-term and long-term stock returns of the target firm, and this impact exists within both types of peer-firm relationship. Further research indicates that the more complex the relationships between firms, the stronger the effect, and the spread of sentiments among opinion leaders may be the explanatory mechanism. This paper reveals the impact of opinion leaders on the stock price and their formation mechanism of peer firms, and provide empirical evidence for the phenomena of information diffusion in the market.

Key words:

opinion leader, peer firm, information diffusion, return predictability

摘要：

基于社会网络分析技术识别股票网络论坛中的意见领袖，利用文本分析技术判断其发帖的情绪类型，并通过同行业和共同分析师两种方式构建上市公司的同群关系，考察意见领袖情绪对同群公司股价的影响及机制，进而检验网络论坛中意见领袖的情绪是否在同群公司中传播及其传播特征和规律。利用2013~2017年的样本数据，研究发现，来自同群公司意见领袖的积极情绪对于目标公司未来股价短期和长期收益率均有显著正向影响，这一影响稳健地存在于两类同群公司关系中。进一步研究表明，公司之间关系越复杂则该效应越强，意见领袖之间情绪传播是可能的解释机制。揭示了意见领袖对其他公司股价的影响及其形成机制，并为资本市场信息传播现象提供经验证据。

关键词:

意见领袖, 同群公司, 信息传播, 收益可预测性