Sense the Words: The Impact of Discussion Board Postings on the Stock Market

Some empirical studies claim that postings in the stock message board have a small but significant correlation on stock return. We study the effect of 2.85 million postings of 58 representative listed firms in HS300 index in China. Instead of considering daily postings as a whole, we divide daily postings into five intervals according to text length. We find that the magnitude of correlation between postings and stock return varies by the number of words, i.e., short postings have positive correlations, more words are negative and longest postings have positive correlation again.