The Effects of Message Board Information Dissemination on Stock Activity
نویسنده
چکیده
Internet stock message boards provide individual investors with a new information medium that could have several effects on stock activity. Message boards may provide investors with a new information source on small cap stocks. Message boards may affect the trading and volatility of certain stocks by influencing investors. The impact of message board information may vary according to characteristics of the message board. This thesis determines whether message board activity has statistical relationships with stock activity. The research examines how these relationships vary based on message board and stock characteristics. Regression analysis of message board and stock data was performed. The analysis shows that message boards track stock price and trading volume. The quality of the tracking relationship varies according to certain message board characteristics. Message boards have no systematic effects on trading activity, but have increased short term volatility for some small cap stocks. Thesis Supervisor: Michael Siegel Title: Senior Research Scientist, MIT Sloan School of Management
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