Research

Job Market Paper

Intensity Bursts in WallStreetBets Discussion and Stock Markets Trading (With Yoichi Otsubo and Ser-Huang Poon)

• Abstract: This study examines the impact of social media activity on stock market dynamics, focusing on upsurges (intensity bursts, IBs) in Reddit’s WallStreetBets (WSB) submissions. By analysing trading turnover, returns, and short-selling activities, we reveal that IBs lead to significant increases in trading turnover and stock returns, with discussions inside regular trading hours (RTH) having a more pronounced impact than the ones outside RTH. Conversely, we find that high levels of short-selling pressure prior to IB events, suggesting complex dynamics associated with short selling. Our findings highlight the crucial role of social media discussion timing in influencing market movements, contributing to the understanding of social finance dynamics.
• Presentations (*by co-author): Financial Econometrics Conference to mark Stephen Taylor’s Retirement, Sofia University, 2023 Nippon Finance Association Annual Conference, 12th International Conference of the Financial Engineering and Banking Society (FEBS), 2024 British Accounting and Finance Association (BAFA) Annual Conference

Publication

Vocabulary Herfindahl Index (Vocahin): Linguistic Dominance and Collective Effervescence in Wallstreetbets (With Ko Hayakawa, Yoichi Otsubo and Ser-Huang Poon), Economics Letters, Forthcoming

• Abstract: Analysis of over 150,000 WallStreetBets comments identifies dominant phrases during Collective Effervescence (CE), a state where individuals experience collective excitements and solidarity. With our proposed Vocabulary Herfindahl Index (VocaHIn), measuring the prevalence of specific phrases, we find an upsurge in stock returns volatility following CE and similarly, CE tends to intensify after experiencing a volatile market.
• Accepted by Economics Letters

Work in Progress

LLM and Transparency in Supply Chains (with Ser-Huang Poon)

• In this paper, we apply a state-of-art Large Language Model to evaluate Social reports related to business supply chains. We also explore a number of factors that are crucial for evaluating corporate disclosure quality.
• Presentations: 2022 British Academy of Management (BAM)

User Patterns in Financial Social Media (with Yoichi Otsubo and Ser-Huang Poon)

• In this paper, we implement Prompt Engineering, the process of structuring an instruction that can be interpreted and understood by a generative AI model, in specific financial social media text data. We also find an intriguing behavioural pattern that shows how the users on financial social media interact with each other.