Abstract
In this article, we examine whether social media information affects the price-discovery process for cross-listed companies. Using over 29 million overnight tweets mentioning cross-listed companies, we examine the role of social media for a link between the last periods of trading in the US markets and the first periods in the UK market. Our estimates suggest that the size and content of information flows on social networks support the price-discovery process. The interactions between lagged US stock features and overnight tweets significantly affect stock returns and volatility of cross-listed stocks when the UK market opens. These effects weaken and disappear 1 to 3 hr after the opening of the UK market. We also develop a profitable trading strategy based on overnight social media, and the profits remain economically significant after considering transaction costs.
| Original language | English |
|---|---|
| Pages (from-to) | 151-167 |
| Number of pages | 17 |
| Journal | Journal of Financial Research |
| Volume | 46 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 10 Oct 2022 |
Bibliographical note
Funding Information:We thank Dennis Philip, Patricia Chelley-Steeley, and two anonymous reviewers for their helpful comments. Standard disclaimer applies.
Publisher Copyright:
© 2022 The Authors. Journal of Financial Research published by Wiley Periodicals LLC on behalf of The Southern Finance Association and the Southwestern Finance Association.
ASJC Scopus subject areas
- Accounting
- Finance