Resumen de The role of internet in stock market
This dissertation introduces the concept of Internet Information and highlights its crucial role in stock market. At the beginning, I discuss the intrinsic relations between market efficiency and Internet Information and argue that Internet Information serves as a way of complementing the “data” for understanding the dynamics of stock market. In chapter 2, I give an overview of stock market predictions using Internet Information and put forward some research directions. Naturally, four short essays are presented to illustrate the utilization of Internet Information. In particular, Chapter 3 employs the news appeared in the Internet as the proxy for the rate of information flow and examines the nature of the information-volatility relations. Chapter 4 demonstrates that the familiarity-based investment is driven by information with a unique online information interactive channel. Chapter 5 shows that the investor sentiment constructed by investor’s searching behavior can explain the excess comovement of stock returns. Chapter 6 illustrates the impact of happiness sentiment extracted from social media on stock market performance. In general, this dissertation addresses a timely important issue presented to us in this revolutionary information environment and takes an important step in highlighting the role of Internet Information in stock market.
