This research investigates information transmissions between stock returns and abnormal posting volumes using a total of 1,031,206 messages posted on Chinese stock message boards. Based on a multivariable GARCH (1, 1) model and causality in variance test, the study shows that there are significant two-way volatility spillovers effects: a positive volatility spillover effect from stock returns to abnormal posting volume, and a negative volatility spillover effect from abnormal posting volume to stock returns. The information exchange and communication on stock message boards have a certain role to stabilize financial markets and to improve the investment rationale.
Lu, Yong; Li, Liaoliao; Dong, Dayong; and Yang, Dan, "Is there Two-Way Information Transmission between Stock Markets and Stock Discussion Boards?" (2010). ICIS 2010 Proceedings. 35.