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Using Information Processing Strategies to Predict Message Level Contagion in Social Media Read chapter Read first chapter

2020 | OriginalPaper | Chapter

Manipulated Information Dissemination and Risk-Adjusted Momentum Return in the Chinese Stock Market

Authors : Hung-Wen Lin, Jing-Bo Huang, Kun-Ben Lin, Shu-Heng Chen

Published in: Advances in Artificial Intelligence, Software and Systems Engineering

Publisher: Springer International Publishing

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Abstract

We study the manipulated information dissemination and risk-adjusted momentum return in the Chinese stock market. In this paper, we employ excess media coverage as a proxy for manipulated information dissemination. The raw momentum returns are negative across all degrees of manipulated information dissemination, but turn into significantly positive after controlling for risks. These outcomes hint that the manipulations of information dissemination contribute to price instabilities, so raw momentum returns are negative but turn into positive owing to risk adjustments. Moreover, we also discover that the stocks with high manipulated information dissemination exhibit big size characteristic and resist market risk well.

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previous chapter Social Convos: A New Approach to Modeling Information Diffusion in Social Media
next chapter Actionable Pattern Discovery for Tweet Emotions
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Metadata
Title
Manipulated Information Dissemination and Risk-Adjusted Momentum Return in the Chinese Stock Market
Authors
Hung-Wen Lin
Jing-Bo Huang
Kun-Ben Lin
Shu-Heng Chen
Copyright Year
2020
Book
Advances in Artificial Intelligence, Software and Systems Engineering

Print ISBN: 978-3-030-20453-2

Electronic ISBN: 978-3-030-20454-9

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-3-030-20454-9_4

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