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Table 11 Leaders’ comments and trading frequency of followers - removal of firm-specific comments

From: Does communication increase investors’ trading frequency? Evidence from a Chinese social trading platform

  \(Trades_{i,t}\) \(Turnover_{i,t}\)
  (1) (2) (3) (4) (5) (6) (7) (8)
  FE SYS-GMM FE SYS-GMM FE SYS-GMM FE SYS-GMM
\(Leader\ comment_{i,t-1}\) 0.0266\(^{***}\) 0.0326\(^{**}\)    0.0246\(^{**}\) 0.0575\(^{**}\)   
(3.10) (2.04)    (2.09) (2.10)   
\(Leader\ count_{i,t-1}\)    0.0159\(^{***}\) 0.0260\(^{**}\)    0.0142\(^{**}\) 0.0317\(^{**}\)
   (3.32) (2.33)    (2.33) (2.06)
\(\text{Leader positive}_{i,t-1}\)    − 0.0175 − 0.6226    0.0645 − 1.1496
   (− 0.64) (− 0.94)    (0.60) (− 1.00)
\(Leader\ negative_{i,t-1}\)    0.0654 − 1.0765    0.0044 − 0.7807
   (0.99) (− 1.13)    (0.05) (− 0.63)
\(Return_{i,t-1}\) 0.5548\(^{***}\) 7.1534\(^{***}\) 0.6501\(^{***}\) 1.0230\(^{***}\) − 0.0171 5.8654\(^{***}\) 0.0268 0.8019\(^{***}\)
(5.51) (4.78) (5.78) (9.58) (− 0.10) (3.04) (0.14) (4.79)
\(Return\ SD_{i,t-1}\) 0.4944\(^{***}\) 2.2742\(^{**}\) 0.3720\(^{**}\) 1.7394 1.0096\(^{***}\) 3.4614\(^{*}\) 0.7770\(^{**}\) − 0.1833
(2.94) (2.34) (2.01) (1.58) (3.31) (1.72) (2.40) (− 0.10)
\(No.securities_{i,t-1}\) 0.4212\(^{***}\) 0.0137\(^{*}\) 0.4613\(^{***}\) −0.0011 0.2750\(^{***}\) 0.0087 0.2853\(^{***}\) −0.0223
(25.09) (1.65) (23.31) (−0.09) (13.87) (0.93) (12.99) (− 1.12)
\(No.followers_{i,t-1}\) 0.0735\(^{***}\) 0.0237 0.0680\(^{*}\) 0.0811\(^{***}\) 0.0837\(^{***}\) 0.0428 0.0703\(^{**}\) 0.0689\(^{*}\)
(2.61) (0.98) (1.96) (2.60) (2.67) (1.26) (2.45) (1.81)
\(Portfolio\ age_{i,t-1}\) −0.0159\(^{***}\) −0.0217\(^{***}\) −0.1434\(^{***}\) −0.0187\(^{***}\) −0.0221\(^{***}\) −0.0116\(^{***}\) −0.1445\(^{***}\) −0.0201\(^{*}\)
(− 7.17) (− 3.57) (− 6.26) (− 2.61) (− 2.65) (− 2.97) (− 4.84) (−1.92)
\(No.leaders_{i,t-1}\) 0.0712\(^{***}\) -0.0057 0.1050\(^{***}\) 0.0168 0.0562\(^{***}\) −0.0002 0.0839\(^{***}\) 0.0364\(^{*}\)
(4.03) (− 0.46) (5.00) (1.08) (2.98) (−0.01) (4.02) (1.74)
\(Leader\ return_{i,t-1}\) 0.1654\(^{**}\) − 1.3151 0.2513\(^{**}\) 0.1281 0.2666\(^{**}\) 4.3481\(^{*}\) 0.3818\(^{**}\) 1.2021
(2.22) (− 1.27) (2.08) (0.11) (2.47) (1.77) (2.31) (0.81)
\(Leader\ SD_{i,t-1}\) 0.4813\(^{**}\) 2.2616\(^{*}\) 0.5115 2.0306 0.5236\(^{*}\) 1.6182 0.4045 5.3131\(^{**}\)
(2.30) (1.72) (1.31) (1.39) (1.69) (1.00) (0.75) (2.44)
\(Leader\ trades_{i,t-1}\) 0.0508\(^{***}\) − 0.0102 0.0507\(^{***}\) −0.0169 0.0459\(^{***}\) −0.0172 0.0392\(^{**}\) −0.0570
(5.21) (− 0.55) (4.19) (−0.65) (3.06) (−0.85) (2.25) (−1.50)
\(Leader\ followers_{i,t-1}\) 0.0155\(^{**}\) 0.0010 0.0172 0.0067 0.0121 − 0.0074 0.0148 − 0.0137
(2.06) (0.19) (1.54) (0.78) (1.25) (− 1.03) (1.09) (− 1.17)
\(Leader\ Securities_{i,t-1}\) 0.0139 0.0091 0.0224 0.0105 0.0114 − 0.0042 0.0504\(^{**}\) 0.0340\(^{*}\)
(1.14) (1.07) (1.35) (0.79) (0.61) (− 0.42) (2.13) (1.80)
\(Leader\ Age_{i,t-1}\) − 0.0274\(^{***}\) − 0.0121 −0.0384\(^{***}\) − 0.0186 −0.0237\(^{***}\) − 0.0065 −0.0447\(^{***}\) − 0.0098
(− 4.13) (− 1.55) (−3.35) (−1.52) (− 2.67) (− 0.73) (− 3.35) (− 0.63)
\(Y_{i,t-1}\)   0.4840\(^{***}\)   0.7346\(^{***}\)   0.7899\(^{***}\)   0.5833\(^{***}\)
  (3.49)   (11.25)   (3.89)   (5.99)
\(Y_{i,t-2}\)   0.4169\(^{**}\)   0.0239   0.0143   0.0158
  (2.40)   (0.17)   (0.07)   (0.11)
\(Y_{i,t-3}\)   − 0.0560   0.0784   0.0365   0.1006
  (− 0.55)   (0.87)   (0.45)   (0.74)
\(Y_{i,t-4}\)   0.0148 −0.0072    0.0036   0.0791
  (1.08)   (−0.57)   (0.19)   (0.68)
\(Y_{i,t-5}\)   −0.0131   -0.0083   0.0073   − 0.0070
  (− 1.45)   (− 1.15)   (0.75)   (− 0.30)
Portfolio fixed effects Yes Yes Yes Yes Yes Yes Yes Yes
Time fixed effects Yes Yes Yes Yes Yes Yes Yes Yes
Observations 262,457 243,880 139,586 130,503 262,457 243,880 139,586 130,503
Adjusted \(R^2\) 0.3273 0.3389 0.3269 0.3431
AR(1) test (p value) 0.002 0.000 0.004 0.000
AR(2) test (p value) 0.200 0.313 0.574 0.531
Hansen test of over-identification (p value) 0.893 0.187 0.236 0.229
Diff-in-Hansen test of exogeneity (p value) 0.537 0.215 0.210 0.102
  1. This table reports the results from the fixed-effects (FE) estimation of the panel regression model specified in Eq. 2 (odd columns) and the GMM (SYS-GMM) estimation of the panel regression model specified in Eq. 3 (even columns). The dependent variable is either the (log) number of trades of portfolios (Columns 1 to 4) or the turnover ratio of portfolios (Columns 5 to 8). \(Leader\ Comment\), \(Leader\ Count\), \(Leader\ Positive\) and \(Leader\ Negative\) are constructed after removing firm-specific comments. Only real-account portfolios of treated portfolios are included in the regressions. All explanatory variables are lagged by one week. In odd columns, standard errors estimated by the fixed-effects approach are double-clustered at the portfolio level and over time. In even columns, standard errors estimated by the system GMM approach are clustered at the portfolio level. *, **, and *** denote significance at the 10%, 5%, and 1% level, respectively