文献类型：期刊文献

英文题名：Social media sentiment contagion and stock price jumps and crashes

作者：Yang, Jing[1];Xiong, Yan[2]

机构：[1]Xiamen Univ, Overseas Educ Coll, Xiamen 361102, Peoples R China;[2]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2024

卷号：88

外文期刊名：PACIFIC-BASIN FINANCE JOURNAL

收录：;WOS:【SSCI(收录号:WOS:001316747700001)】；

基金：We would like to express our gratitude for the financial support provided by the following sources: the Fundamental Research Funds for the Central Universities (2072021041) , the National Natural Science Foundation of China General Program (71790601, 72272125) , the National Social Science Foundation of China General Program (22BGL076) , and the Ministry of Education of China Humanities and Social Sciences Research Planning Fund Project (21YJA630101) .

语种：英文

外文关键词：Social media sentiment contagion; Stock price jumps; Stock price crashes

摘要：Inspired by the SIR model, we adopt sentiment extracted from the social media platform (Guba) of Eastmoney in China during 2008-2022 to construct a firm-specific investor sentiment contagion speed measurement and investigate the association between sentiment contagion speed and stock price jumps and crashes. Specifically, we find that the contagion of optimistic sentiment is positively associated with jumps in stock price, while the contagion of pessimistic sentiment is positively associated with the crash risk of stock prices. Moreover, these associations vary based on the prevailing proportion of the sentiment and the market's bull and bear status. Additionally, the stock price movement associated with social sentiment contagion is influenced by shortselling constraints, analyst coverage and institutional ownership.