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Social media and price discovery: The case of cross‐listed firms

Rui Fan Orcid Logo, Oleksandr Talavera, Vu Tran Orcid Logo

Journal of Financial Research, Volume: 46, Issue: 1

Swansea University Authors: Rui Fan Orcid Logo, Vu Tran Orcid Logo

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DOI (Published version): 10.1111/jfir.12310

Abstract

This paper examines whether social media information affects the price discovery process forcross-listed companies. Using over 29 million overnight tweets mentioning cross-listedcompanies, we investigate the role of social media for the linkage between the last periods oftrading in the US markets an...

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Published in: Journal of Financial Research
ISSN: 0270-2592 1475-6803
Published: Wiley 2022
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URI: https://cronfa.swan.ac.uk/Record/cronfa59701
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first_indexed 2022-03-24T12:43:23Z
last_indexed 2023-01-13T16:27:16Z
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spelling v2 59701 2022-03-24 Social media and price discovery: The case of cross‐listed firms 4259d5c5f4095e7abae064ef8775c92b 0000-0002-8147-5758 Rui Fan Rui Fan true false a3a3e0b578c47d4a82cf3f66ab0615ee 0000-0001-9561-8118 Vu Tran Vu Tran true false 2022-03-24 BAF This paper examines whether social media information affects the price discovery process forcross-listed companies. Using over 29 million overnight tweets mentioning cross-listedcompanies, we investigate the role of social media for the linkage between the last periods oftrading in the US markets and the first periods in the UK market. Our estimates suggest thatthe size and content of information flows in social networks support the price discoveryprocess. The interactions between lagged US stock features and overnight tweets significantlyaffect stock returns and volatility of cross-listed stocks when the UK market opens. Theseeffects weaken and disappear after one to three hours after the UK market opening. We alsodevelop a profitable trading strategy based on overnight social media, and the profits remaineconomically significant after considering transaction costs. Journal Article Journal of Financial Research 46 1 Wiley 0270-2592 1475-6803 22 10 2022 2022-10-22 10.1111/jfir.12310 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2023-06-12T16:33:43.7972671 2022-03-24T12:35:05.2397177 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Rui Fan 0000-0002-8147-5758 1 Oleksandr Talavera 2 Vu Tran 0000-0001-9561-8118 3 59701__25577__f02da810f42f414194e70732f417563c.pdf 59701_VoR.pdf 2022-10-24T17:12:59.2891191 Output 1035650 application/pdf Version of Record true © 2022 The Authors. This is an open access article under the terms of the Creative Commons Attribution License true eng http://creativecommons.org/licenses/by/4.0/
title Social media and price discovery: The case of cross‐listed firms
spellingShingle Social media and price discovery: The case of cross‐listed firms
Rui Fan
Vu Tran
title_short Social media and price discovery: The case of cross‐listed firms
title_full Social media and price discovery: The case of cross‐listed firms
title_fullStr Social media and price discovery: The case of cross‐listed firms
title_full_unstemmed Social media and price discovery: The case of cross‐listed firms
title_sort Social media and price discovery: The case of cross‐listed firms
author_id_str_mv 4259d5c5f4095e7abae064ef8775c92b
a3a3e0b578c47d4a82cf3f66ab0615ee
author_id_fullname_str_mv 4259d5c5f4095e7abae064ef8775c92b_***_Rui Fan
a3a3e0b578c47d4a82cf3f66ab0615ee_***_Vu Tran
author Rui Fan
Vu Tran
author2 Rui Fan
Oleksandr Talavera
Vu Tran
format Journal article
container_title Journal of Financial Research
container_volume 46
container_issue 1
publishDate 2022
institution Swansea University
issn 0270-2592
1475-6803
doi_str_mv 10.1111/jfir.12310
publisher Wiley
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 1
active_str 0
description This paper examines whether social media information affects the price discovery process forcross-listed companies. Using over 29 million overnight tweets mentioning cross-listedcompanies, we investigate the role of social media for the linkage between the last periods oftrading in the US markets and the first periods in the UK market. Our estimates suggest thatthe size and content of information flows in social networks support the price discoveryprocess. The interactions between lagged US stock features and overnight tweets significantlyaffect stock returns and volatility of cross-listed stocks when the UK market opens. Theseeffects weaken and disappear after one to three hours after the UK market opening. We alsodevelop a profitable trading strategy based on overnight social media, and the profits remaineconomically significant after considering transaction costs.
published_date 2022-10-22T16:33:41Z
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score 11.013731

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